Hi and welcome. You are not alone with those intrusive thoughts. I haven't any knowledge of Major Dep Disorder but have had experiences with psychotic symptoms whenever my depression is acute. I've heard voices and, in particular, noises (banging on the door) with voices shouting my name. For me, it's more infuriating than frightening and, fortunately, it doesn't happen very often. I take Quetiapine, which has almost completely put a stop to the psychosis.
When my psychosis was at its worst (before I even realised what was going on), I was constantly complaining about my radio and tv picking up ''conversational voices''. At first, I laid blame on the aeroplane pilots talking in the Cockpit as they flew overhead on their way to Heathrow. Next, I thought it might be the mobile masts on top of the Hotel opposite. I was so bamboozled, at one point, I even involved Wandsworth Council. It all came to a head one day... I arrived home to my entire flat covered in insects. I had also noticed them in the stairway that day, so, once again, I called the Council and demanded an official attend. In the meantime, I swept up all the insects from my wooden floors and placed them in a bucket, until the Council Officer arrived.
From that day until now, I reckon the council have me marked down as some kind of nut, because there were no insects in the bucket when the Official came to my door an hour later!! I have a weird attitude to these experiences. I have never really allowed them to bother me too much, I just keep my little antics to myself!

Hope you got on okay with the Psychiatrist. How long have you been using olanzapine?