It's entirely possible that you could have both (I'm not necessarily saying that you do, just that it's a possibility), seeing as they do have a high rate of co-morbidity with one another. I have both, but my ADHD went undiagnosed for so long because I also have rather bad anxiety (Poorly-worded explanation incoming: I'm trying to remember how my therapist described it).
I wound up starting medication a while later, and it was like a whole new world in regards to the difference it made.
I could offer conjecture about about how your depression might be linked due to the situation your ADHD puts you in, but it'd be just that: pure conjecture. I would highly recommend you speak with your doctor about any concerns you might have, since we're all just random people on the internet with no ability to diagnose you with anything.