Healther Locklear "is doing great," her beau Jack Wagner told Usmagazine.com exclusively Thursday. Last weekend, Wagner, 48, joined Locklear, 46, for her first public outing since entering rehab at Sierra Tucson in Arizona last month for treatment of depression and anxiety. The former Melrose Place co-stars visited the luxe Miraval spa and resort in Tucson, AZ on the Fourth of July. "Heather has been deeply unhappy and depressed since [the cancellation of NBC drama LAX in 2004]," a source told Us . ( See Locklear and other '90s stars then & now .) "[Heather] requested an in-depth evaluation of her medication and entered into a medical facility for proper diagnosis and treatment," her rep told Us in a statement at the end of June, when the actress entered rehab . In March, TMZ.com reported that a pal called 911, fearing Locklear was suicidal . The actress — who recently filmed the Lifetime movie Flirting with 40 — has a daughter, Ava, 10, with ex husband Richie Sambora . ( See Locklear with '80s beau Tom Cruise .) ...