I have been told by a psychiatrist that when my depression is at its worst I can experience symptoms of psychosis, which do not involve hallucinations of any kind but rather delusional beliefs that centre on a fear of being followed and/or attacked. At a job I worked several years ago I would often become convinced that specific coworkers were following me home, for instance. Fortunately, I haven't experienced this kind of psychosis in quite a while, and my depression usually resembles classic major depressive disorder without psychotic features. Is this what you mean?