Not "connected" to the baby

I'm 31w and I'm afraid I there is something wrong with me or that I might have prenatal depression. I don't feel a "connection" to my baby even though we have given her a name and her room is all set up.. I mean I feel her moving and growing inside of me but I don't love her or feel like things are real.. This pregnancy was very planed and much wanted, but now all I can think about is all of these horrible things and I can't help but be afraid that I'll be a terrible mother.
I feel down & sad most of the time, and with a history of depression & anxiety I'm worried I'll get bad again and this will send me 10 steps backwards. I know it's normal to be scared and have mixed emotions, but I have them too often. 
I guess I'm just wondering if there are any other mums out these who have/do felt similar to this? Did things change when your child was born? My fiancé wants me to talk to someone if I don't get better and he is worried I will neglect the baby, but I'm scared.. Any advice/personal stories would be much appreciated. Thank you.