They are closely linked conditions. I do not have anxiety or depression, but my undiagnosed and then untreated ADHD was causing me both conditions.
They are separate things but they are intertwined, so much so that ADHD very frequently comes with a dual diagnosis of one or more other conditions, or is confused/commingled with eg. autism. A proper assessment can disentangle them and reach the correct diagnosis.
Sorry, meant to say that executive dysfunction and depression are separate but can be intertwined. I think I was unclear.