Anxiety mainly. When I had major depression, the worst symptom was the anxiety rather than the depression.
BTW, I had the same problem as you, most SSRIs made me throw up. However, then I found one that didn't - Seroxat - paroxetine. For many people, it is better tolerated than some of the others - not all, however. I know at least one person on here who found it awful, but it worked for me, (it took exactly 6 weeks and I woke up one morning feeling on top of the world) and got rid of the anxiety as well. I didn't stay on it because of other side effects, namely rendering one sexually inert, and when I tried going back on it a couple of years later, it didn't have the same magical effect. Apparently this is another common experience.