Depth estimation is essential for various important real-world applications such as autonomous driving. However, it suffers from severe performance degradation in high-velocity scenario since traditional cameras can only capture blurred images. To deal with this problem, the spike camera is designed to capture the pixel-wise luminance intensity at high frame rate. However, depth estimation with spike camera remains very challenging using traditional monocular or stereo depth estimation algorithms, which are based on the photometric consistency. In this paper, we propose a novel Uncertainty-Guided Depth Fusion (UGDF) framework to fuse the predictions of monocular and stereo depth estimation networks for spike camera. Our framework is motivated by the fact that stereo spike depth estimation achieves better results at close range while monocular spike depth estimation obtains better results at long range. Therefore, we introduce a dual-task depth estimation architecture with a joint training strategy and estimate the distributed uncertainty to fuse the monocular and stereo results. In order to demonstrate the advantage of spike depth estimation over traditional camera depth estimation, we contribute a spike-depth dataset named CitySpike20K, which contains 20K paired samples, for spike depth estimation. UGDF achieves state-of-the-art results on CitySpike20K, surpassing all monocular or stereo spike depth estimation baselines. We conduct extensive experiments to evaluate the effectiveness and generalization of our method on CitySpike20K. To the best of our knowledge, our framework is the first dual-task fusion framework for spike camera depth estimation. Code and dataset will be released.