Dealing with Depression and Memory Loss

I’ve been dealing with major depression and anxiety for a few years now, but in the past year or so I began noticing some short-term memory loss - E.g. someone asks me a question but I immediately forget and need them to repeat it, I easily forget thoughts, and I cannot concentrate anymore for the life of me. I feel I’m relatively young to be experiencing these symptoms, and have read that depression an actually shrink parts of the brain. Does anyone else notice this as a symptom of their depression?