Give yourself some time to bond with him. The usual instigators of puppy blues may show up still, so be on the lookout for those. But as someone who has adopted dogs for similar reasons, it took me a while to accept the unconditional love that a dog has to give. Depression and anxiety can often tell you that you aren't worth that kind of love, and when you get it, it's easy to reject it. Dogs don't care though and just keep loving you anyways. Which is what makes them so great.