Have you by any chance tracked whether your feelings of depression are in any way correlated with your period? Premenstrual dysphoric disorder (PMDD) causes a woman to have severe depression symptoms, irritability, and tension before menstruation. Once her period starts, the symptoms virtually disappear. I do suggest you find a mood tracker app and see if your symptoms are in line with your periods.
If that’s not it, then you need to see a counselor for an evaluation. I can’t go any further without more information than you could put in a letter.
As for the fears of getting shot: It’s hard to pay attention to the news and not get anxious, especially if you are a sensitive person. In your case, your anxieties are starting to develop into a phobia. For that reason, I again suggest that you see a counselor to help you learn some new skills for managing it.
I wish you well.