I know where you're coming from. There really isn't a whole lot to do where I live but hit up the bars. Pretty much my entire social circle goes to bars. I've known these people for many, many years and I've rarely hung out with any of them with no alcohol around.
It's a hard thing to avoid but it isn't impossible. I too suffer from anxiety and depression and drinking with friends was always the best way for me to unwind and let my armor down a little. It's a totally different story when morning comes around and I feel half dead.
I never sought treatment or meetings, but I did realize that it was just out of my control. I've tried the "I'll just take it slow and only have a a couple" method and it worked about one out of every ten times. I've even set reminders in my phone to go off every hour with notes telling myself to stop or slow down. Judgement is always the first thing to go for me and once it is gone, I don't want to stop drinking until last call (which is 3am where I live). The only time I drank was on the weekends, which isn't too bad, but I would always drink to excess. Hangovers aren't easy to deal with in your mid-30's. If I really tie one on, I'm feeling like pure garbage for at least 3 or 4 days afterward. During that period, all that guilt and depression is in full force. A few hours of evening fun isn't worth days of mental devastation.
It's so refreshing to get to work on Monday morning and not be on day 2 of a 4 day hangover. After a few weeks your head will start to clear up. After New Years Eve (which was an afternoon/night of barhopping which I can only remember pieces of) I decided it was time to dial it back. I haven't drank since then and haven't even wanted to go out. Every time I think about it, my brain immediately says "fuck that" and I remember how there's no way I'll be able to have only 3 beers and call it a night. I'm not saying I will never ever drink again, but I'm not going to do it just for the sake of doing it. I've had no real desire to go out (which is a first) but I'm not naive enough to think I can't slip back into my old ways. I spend my nights cleaning my apartment, making a nice dinner, watching some movies, reading a book, etc. Just relaxing quiet time. Just knowing that I'm not going to feel like shit is the most motivating thing for me. Plus, not ruining my life further with another DUI. I got one ten years ago. The laws are far more strict nowadays. If I got one now, it's 2 weeks in jail, loads of fines, a ton of community service (picking up garbage from the side of the road wearing a vest that says "I am a drunk driver"), and loss of my license for a year. That also translates to: my savings that I worked so hard for is wiped out, I'll certainly lose my job, license, and my mugshot will be online and in the newspaper for all to see. Just not worth the risk.
Good luck to you.