Have you taken any time off sick because of it?
Sometimes it's in an employment contract that if you've taken a certain amount of time off sick, or had a certain number of sickness episodes, they can ask you to see occupational health. Check your sickness absence policy on that.
An occupational health dr may ask for a report from your gp (but this is rare) - but would certainly not request full access to your medical records. The occupational health dr would then say if you're likely to be considered to be covered by the disability provisions of the Equality Act. They can't say for sure, it's for a court to decide. If you are likely to be covered - the employer has a duty to try and make reasonable adjustments to enable you to continue working. This could be reduced hours, reduced workload, being able to work from home - things like that. But it's only advice and it's up to the employer if it's operationally possible.
For depression - this tends to be applicable if someone doesn't have obvious triggers for an episode (e.g. childbirth, bereavement, divorce) and hasn't had it repeatedly for years on end. Not a doctor but unless you have a long history of it, unlikely to be covered.
Working in occupational health, I'd say it's completely inappropriate for them to ask for full access to your medical records.
If you're not having any problems doing your job, why on earth are they asking for this? It is invasive and completely unnecessary.
The way occupational health operates is that a qualified nurse or dr may ask for a report from your gp or specialist on a particular issue. Not your whole medical records. And even then the doctor would tailor a report for management - not disclose the minutae of your medical details - just give advice on how best to support you in the workplace. And any information disclosed to the employer would only be after you had read the report and agreed to it being disclosed.
I'm only in admin in occ health - but I think this is unreasonable. Is it a large company or a small one? Possibly something you should ask advice from the CAB I'd say.