Hi L'm A Female, Age 24. My Brother Came Back

Hi l'm a female, age 24. My brother came back home earlier than usual and pretended to be someone breaking in the house (as a prank). Without thinking, the moment I heard him trying to get in, I jumped outside the window and I nearly got myself killed. I'm fine physically, just a bunch of scratches and bruises. Is what I did normal? I was scared and I didn't even think when I jumped. I do have anxiety and sometimes I'm depressed. Should I go to a doctor and tell them what I did. I'm really embarrassed of what I did but I'm more scared if acted like this in the future and got myself killed.