Are you taking any psychotropic medication for the depression? This sort of medication may cause vivid dreams in some individuals.
If you are not sleeping well and if you're not on medication, the depression itself can cause unpleasant persecutory dreams.
Depending on what is triggering your depression (if you have a history of clinical depression or if a recent event had triggered it), the treatment options can vary.
In the first case, medication would be most helpful to bring the brain chemistry to a certain baseline.
Psychotherapy is another option and both can be combined.
If your job provides EAP benefits, you may be entitled to some free counseling sessions. If you have commercial insurance, they will give you the in network referrals for both psychiatrist and counselor. If you do not have insurance, the United Way toll free #211 will provide names of the community mental health centers.
The preferred choice would be to see a psychiatrist instead of a general doc and then explore the other therapy options.