When you have both depression and anxiety, does depression cause anxiety or does anxiety cause depression?

Answering that question is difficult , it's kinda like asking "What came first, the chicken or the egg?" . Anxiety and Depression are often inseparable, like a pair of Siamese twins. When one is present you always have the other, and often times they feed off of each other. When your depression gets bad, you may become more anxious, and this can create a vicious cycle. So instead of thinking about what disorder caused what, try thinking about ways of not feeding the downward spiral.

In my opinion, anxiety can cause depression and depression can cause anxiety. When with depression, life will seem dark and so anxiety will be easier to catch. And vice versa.

I think it can goes vice-versa, but in my case it's obviously most of the time anxiety cause depression. When I'm anxious or having an anxiety attack, my depression got worse and it feels like relapsing all over again. For example when I got anxious about an act of toxicity, my depression is spiraling and it's hard to manage. I think it's important to recognize which one is related to your own issue and context to determine whether depression cause anxiety or anxiety cause depression. Because sometimes it's both happening at the same time equivalently, and we can't always decide which one is the root cause.