I'm going to end a friendship with a girl who joked about my anxiety/depression not being as severe as hers
Does that bother you that much?
I find it hard to spend time with someone who thinks I don't have it as hard as them
Your friend may have been rude with her comment about your anxiety, but stopping your friendship because you think they see you as less than them only hides your insecurity. Talk to her about it and address your self--doubt head-on.
Should I answer by saying I can't say who thinks who has it worse. I'm going to end this friendship because it's inconvenient for me.
She might not have been that serious when she said it. people make dumb comments all the time you should not take it too seriously.