L.R.
I'm so sorry you're in this tough situation. However you tell him, it will have to be at a low-stress time for him, without the kids around, when he's not preoccupied about work problems, when he's not expected elsewhere anytime soon. He may likely get angry, especially if he feels he was clear about saying no and thought the topic was closed and that you were responsible for "taking care" and not getting pregnant. So brace yourself for that possible anger and for not getting defensive, so he can say his piece and you can respond calmly.
Try re-reading your own post as if you were a third party: "He said absolutely NO...He never acted...I never took the initiative..." and most importantly now: "My husband has panic-anxiety related depression...."
It sounds as if you and he are not communicating clearly and not heeding and acting on the communications you do have. Please consider lining up marital and communications counseling for you both as soon as you tell him, because especially if he reacts negatively, you will both need to be clearer and more open with each other from this point on, or this pregnancy will be a cause of tremendous stress. (Is counseling easily available to you in this country?) Particularly if he has depression triggered by anxiety, this could be a trigger for him -- does he have a good doctor already in the country where you are, and is he seeing a doctor regularly, taking appropriate medications, etc.? As you tell him and watch his reactions, please consider his mental health, which, especially if you are in this country for his job, could have a huge impact on his ability to work and be a dad. For yourself, you will need a network of personal support--do you have any friends in this country, can you make some through parenting or playgroups or other organizations you can join, etc.?
I don't know if this was much help, but I feel for you and hope it turns out OK when you tell him. His depression complicates the situation not just for him but for your family. Good luck and please do a "what happened" on Mamasource so we can hear how things go.