We are more often frightened than hurt; and we suffer more from imagination than from reality. -Seneca

Reading your post a riddle came to mind – what comes first the chicken or the egg. With regards to depression: Does the story we tell ourselves influence and create depression or does depression influence and create our story. Both?  My observation is that we tend to live the story we tell and depression often starts with the story (conscious or unconscious story) but that we can cross a tipping point were our brain chemistry changes and works against us stopping us from changing the story we tell ourselves and live.

I think you might find talking to a third-party professional helpful in determining how much of your anxiety is a result of the depression and how much is a result of having your conciseness fixated/stuck on your story of a horrible future.  Learning the art of directing your conciseness so that you can be in the moment may also be helpful. The first step is coming to terms with your depression.