Hi Daveynice,
Depression certainly tilts us towards worry and fear, and the big one of course is the fear of death.
For a long time now I have been working on separating out the panic and anxiety (which comes on it's own) from the intellectual worrying (which I bring to myself).
A good way for me to deal with the fear of death has been through a Buddhist practise and that helps with the panic attacks as well. Meditating with others who are facing the issue of death head on has a great positive effect. We are not alone, and we all have to go through the process.
I hope this helps a bit.
Cheers, Myzen