It’s a lot of work but it really does help with anxiety.
Here are some of the pitfalls(I have a house with a yard, dog park a few miles away)
It is a lot of work because they need to be exercised and poop scooped unless you live by a wild area like a forest, where no one will step in the lovely surprises.
If they are untrained you will need to do that.It is hard to tell in the shelter how much training they will need. A large city shelter may not be honest about their level of training. Why be totally honest if they mite save the dog’s; life.
Yes, do volunteer at a shelter to learn about dogs.
Research the various breeds.
If you want your dog to run beside the bike or jog with you, you do want at least a medium size dog. I just rescued a terrier/poodle mix that can walk at least a mile in warm weather and jog if I am wiling to risk my knees
Some dogs shed a lot and some don’t. Grooming needs vary widely.
An adult dog may be potty trained,but senior dog means old and you
want to go through the heart ache of medical problems and normal passing away when you have only had your pet for a few years.

The pluses are that mine is very funny and cute. They make you laugh.
They adore you . Mine sleeps with me and I find that comforting, good for anxiety.
He is very smart. He is not one of the stubborn breeds. He wants to please me.
However, we are training him and it can take a while.
My cat can tell when I am really upset and comes close to comfort me.
My young dog cant tell yet when I’m down but will because he is very smart.
I personally would stick with cats for apartment living,(with the house he can just go out his dog door to the yard if I have to skip a walk for some reason)
if you dont mind taking a dog on a potty walk on a cold morning, go for it.
You could offer to take a neighbors dog for a few days as an experiment.
Cats are not just aloof blobs if you give them great massages or whatever they like
My cat actually alerts him if my ex has low blood sugar. Amazing!
A pet is very helpful for anxiety, but go slowly and get the right one!