In complex power and power factor analysis, how do I get the Thevenin impedance if there is a dependent source?
Reading the question and the comments, I believe first of all some clarification is needed.

First of all you need to tell us where you intend to calculate the Thévenin equivalent: you can do that across any two terminals of that particular circuit since it is linear and the controlled voltage source control quantity is inside the circuit you want to reduce.

For example, if you want to calculate the Thévenin equivalent impedance of the net across the \$ V_{rms} \$ voltage source it would be zero since it is ideal.

To calculate the Thévenin equivalent impedance across any two other terminals you first need to turn off any independent voltage/current source, then connect a test source \$V_t\$ across the terminal you have chosen, solve the circuit, obtain the test current \$I_t\$ and finally compute \$Z_{th}=\frac{V_t}{I_p}\$.

I believe that what you want to do is calculate the Thévenin impedance seen from \$V_{rms}\$. To do that \$V_{rms}\$ must be removed, then usual circuit approach can be applied.

Let's call N the node where the resistor, the inductor and the capacitor are connected. From \$R_1\$ arrives a current \$I_t\$ that then splits in the two branches. Let's call \$I^*\$ the current that flows in \$L_1\$, and \$V_n\$ the voltage at node n. Let's finally tie the node \$V_{rms}\$, \$C_1\$, \$Vccs_1\$ to the ground. 
If \$Z_n\$ is the impedance seen across node n and ground removing \$R_1\$, you can write \$Z_{th} = R_1 + Z_n\$. Can we calculate \$Z_n\$ easily? Yes.

You can write:
$$
I^* = I_t - \frac{V^*}{Z_{C_1}}
$$
$$
I^* = \frac{V^*-\frac{I_t}{2}}{Z_{L_1}}
$$
From these you can derive:
$$
V^* = I_t\frac{1+\frac{1}{2Z_{L_1}}}{Z_{L_1}//Z_{C_1}}
$$
where \$Z_{L_1}//Z_{C_1} = \frac{Z_{L_1}Z_{C_1}}{Z_{L_1}+Z_{C_1}}\$

Now, \$Z_n = \frac{V_n}{I_t}=\frac{1+\frac{1}{2Z_{L_1}}}{Z_{L_1}//Z_{C_1}}\$, and finally:
$$
Z_{th} = R_1 + \frac{V_n}{I_t}=\frac{1+\frac{1}{2Z_{L_1}}}{Z_{L_1}//Z_{C_1}}=(1.9375-0.24j)\Omega
$$