In a simple explanation, the Alshich writes that the fear felt by the gentiles was the fear of being killed. This is the reason for the verse using the word nafal (“fell”). After all, the emotion of fear existed already because of Jews’ impending extermination, and it now “fell” onto the gentiles.
However, the Rema in Mechir Yayin interprets their fear specifically as that for the G-d of the Jews.
The Chasam Sofer explains that the “pachad Yehudim” (“fear of the Jews”) that inspired their conversion can be interpreted as fearing what the Jews fear, which is only H-Shem. Let us hope for the day to come soon on which, as the prophet (Yirmiya 33:9) promises us, all the peoples of the earth will fear and tremble over all the goodness and peace H-Shem establishes.