I am feeling very anxious for my two month old daughter. Do dads also feel depressed?

Yes, it's possible. There will be so many emotions and overwhelming sense of responsibility the moment the baby comes home. So many sudden changes that dads are also prone to getting depressed, also known as Post Natal Depression. Here's an article that might help better understand Post Natal Depression in dads. http://www.babycentre.co.uk/a1046187/postnatal-depression-in-dads