I Have Recently (2weeks) Been Changed From Seretide Inhaler To

I have recently (2weeks) been changed from Seretide Inhaler to Budesonide Inhaler. I have C.O.P.D. and depression. My Doctor thought that it would be better for me. I am now experiencing greater anxiety attacks and my breathing is heavier. Should I call my Doctor or have I not given it long enough to trial