I have a few friends with depression and the best thing they ever did is have a job. And if they cannot find a job which will understand them, they retrain at college. I teach many adults who have had mental health problems or have been in rehab and most courses are very understanding about their needs. What would he most love to do for a job? If he is not yet quailfied in this, he could find a course and ask to join so long as they understand it may take him longer to complete it. One friend I have is a self employed videographer. So he makes films and edits them. He can do weddings and events, and this means he is his own boss, so can work pretty much on his own terms which relieves a lot of job-related stress. Your son could also join a temp agency where he can try lots of different jobs, and it's not the end of the world if he can't do the work they give him on that occasion.
More importantly he needs to work out why he is feeling so anxious. My best friend has codnitive therapy for depression and she phones me when she is feeling low and we chat until she feels better. It really is that simple for her- laughing, and the promise that we will get together soon and make some funny films etc. Does your son have a good friend? Is he doing what he truly wants to? I am sure his anxiety is only temporary.