Thanks for your post! Yes setting goals is very helpful with depression and anxiety! Are you looking for short-term/medium-term goals to help you with your major goal of losing weight?
Either way - I'm probably finding this one a little hard to answer because it depends ultimately on where you are at now and how much of an impact your depression and anxiety is having on you. To say 'go for a walk 3 times per week' might be too overwhelming right now, and that's okay. Break it down so that it's where you are at right now.
One thing that is really helpful when making goals is to make them SMART. This stands for specific, measurable, achievable, realistic and timely. This helps because they're more likely to be successful; by being specific, you know exactly what your goal is and whether it's realistic. If you wanted to lose say 20kg in one week - that's a specific and measurable goal but not a realistic or achievable goal. Does that make sense?
Perhaps it might help to think a little more in depth about your goals; how would you feel once you lose weight? What would your life look like - what sorts of things are filling up your day?
There are a couple of things that might be helpful to look at too; about goal setting and SMART goals -
Hope this helps! :)