Thanks for your note. The first thing I thought about when I read your question was this passage – a favorite of mine from The Utantia Book:

48:7.21  Anxiety must be abandoned. The disappointments hardest to bear are those which never come.

But you asked for what Jesus taught. Here is a list of Jesus quotes/teachings about anxiety from The Urantia Book:

137:1.6 “In the coming kingdom, be not mindful of those things which foster your anxiety but rather at all times concern yourselves only with doing the will of the Father who is in heaven.”

140:8.3 Jesus made clear to the three the difference between the requirements of apostleship and discipleship. And even then he did not forbid the exercise of prudence and foresight by the twelve. What he preached against was not forethought but anxiety, worry.

165:5.2 “The welfare of the soul is more than food and drink; the progress in the spirit is far above the need of raiment. When you are tempted to doubt the sureness of your bread, consider the ravens; they sow not neither reap, they have no storehouses or barns, and yet the Father provides food for every one of them that seeks it. And of how much more value are you than many birds! Besides, all of your anxiety or fretting doubts can do nothing to supply your material needs. Which of you by anxiety can add a handbreadth to your stature or a day to your life? Since such matters are not in your hands, why do you give anxious thought to any of these problems?”

You might also want to read our topical study that gives a comprehensive look at Urantia Book teachings about anxiety HERE
Finally, here are a couple of Jesus’ teachings about depression
To the young man who was afraid, Jesus said:
130:6.3 “Set your mind at work to solve its problems; teach your intellect to work for you; refuse longer to be dominated by fear like an unthinking animal. Your mind should be your courageous ally in the solution of your life problems rather than your being, as you have been, its abject fear-slave and the bond servant of depression and defeat.”
And from Jesus’ Teachings at Tyre
156:5.13 God-knowing individuals are not discouraged by misfortune or downcast by disappointment. Believers are immune to the depression consequent upon purely material upheavals; spirit livers are not perturbed by the episodes of the material world. Candidates for eternal life are practitioners of an invigorating and constructive technique for meeting all of the vicissitudes and harassments of mortal living. Every day a true believer lives, he finds it easier to do the right thing.

Thanks again for your note. I hope you are not being bothered by anxiety or depression. But if you are, these teachings from Jesus and The Urantia Book may help you get through it. Just click on the links to go to the complete text.

And, if you are feeling overwhelmed at times, I would recommend seeking professional help to help you overcome these issues. We all need help from time to time, and there is no shame in seeking help when needed.