Taking meds is tough. First of all, it's a pain to remember to take them every day at the same time (I can be so bad for that!) and secondly, the side-effects can REALLY suck. But I'm pretty sure that with a lot of drugs the side-effects eventually wear off as you get used to the drug. I know that taking meds is scary, but leaving your depression untreated is a pretty terrifying thought too. I don't think your doctor would have prescribed meds for you unless he thought you genuinely needed them, and he would not have given you anything that would do you any lasting harm. Still, if you're still worried, maybe you could talk to him again. Did you just tell him that you're having panic attacks, or did you tell him that your anxiety over taking the meds he prescribed causes them? You might mention that the meds are making you nauseous too, and he may be able to help you out with that. Alternatively, do you see a therapist/counsellor at all? It might be a good idea to tell them about it, and they might be able to help you pull through your anxiety at taking the meds.

Sending lots of hugs. Good luck!