Hey there, I haven't used SAM-e, but it does have pretty good benefits.
Apparently, quite a bit of testing has proven it has efficacy in treating both anxiety and also depression, so I would not think this is a placebo effect taking place. To test it, you can go off SAM-e for a week and then monitor how you are feeling emotionally, and if you aren't feeling all that well without taking it, then that would prove its working.