Hi,
I can't help but wonder if perhaps - besides the depression - you've been through some very bad things in your life - major upsets, stuff going wrong at the last minute, unexpected accidents that have made a big impact on you?
I might be completely wrong on that, but I was wondering. I sometimes have similar thoughts and anxiety, though it's not enough to trouble me (most of the time); but I am reasonably sure that it's because I have had so many bad things happen that I expect that to continue in the future. It really *is* the worst-case scenario, when you have *seen* the worst-case scenario, and you *know* you have things to fear.
Either way, I think maybe trying to ask yourself "So what?" to every thought might help. Just follow it to the end, until either you get tired of it or you think of something that's so ridiculous it makes you laugh.
Anyway, best of wishes to you.