Welcome to MM and sorry you have been having a difficult time.
Firstly, I'm afraid I don't have any experience with ADs or anxiety medication but there are plenty of others on MM who can help with that.
However, I do have experience with HRT. I have never used Kliovance but I have used norethisterone which is used in the progesterone part of Kliovance. I've just been writing about my experience on another thread (this member was taking Kliovance and has since stopped) and this is what I said:
"If it's any consolation, I had a horrendous experience with norethisterone and had 5 attacks of silent migraine (scintillating scotoma) in one day. If that wasn't bad enough, the wretched stuff stayed in my system for ages afterwards, so much so, when I started the progesterone cycle the following month and was forced to cop out after just 1 x 2.5mg tablet (migraine kicked in within hours) I still had a completely normal period, with a normal flow and a normal scan result - the experience was so bad, I had to be checked out afterwards. It was truly dreadful and I would rather have a full hysterectomy now, this very afternoon, than ever face that again. I realise this might be described as an extreme case but nevertheless, it is an example of what this stuff can do - bear in mind I don't have form when it comes to PMS or gynaecological problems and I had not suffered from migraines pre-menopause."
I'm not sure how helpful this will be for you but it does give you some idea of what norethisterone is capable of if you are sensitive to synthetic progesterone as I am.
In your situation, I would suggest you try and change to a different type of HRT. Kliovance is pretty heavy duty with a lot of progesterone and early indications show you are not getting on very well with it. I found continuous progesterone gave me a feeling of constant low mood and took away all the positive effects of the oestrogen. I don't rate oral HRT either because I found it caused digestive problems and I was not absorbing enough oestrogen.
There are far better HRT products around but you would need to decide whether or not you want to have periods again. The problem with HRT is the progesterone component which can cause low mood and side effects. Generally speaking, oestrogen = feeling great, progesterone = not feeling great and side effects for many women.
I am severely intolerant to all types of synthetic progesterone and to micronised progesterone (Utrogestan) in high doses so after much trial and error, I now use transdermal, bio identical cyclical HRT which consists of Oestrogel, Utrogestan (progesterone for 7 days each month) and a small bead of testosterone. This does mean having periods but it is a small price to pay for feeling normal again.
Why not have a look at the treatment section on here to get an idea of the type of HRT that might suit you? You can always come back and ask questions.
I hope that helps.