Here's my small dissertation about dealing with depression and mental health:
1.Shop around.
Different counselors have different credentials. While counselors with social working degrees aren't necessarily 'worse' than those with proper PHDs, actual doctors of psychology tend to have a better understanding of the DSM-V and can help you identify issues that pertain to you faster than someone without. Don't be afraid to have one or two appointments with one psychologist and then try out someone else if they don't "fit" you. In my experience, social worker counselors are faster to give their personal opinions and phd counselors seem to prefer to build up a good diagnostic basis before offering their personal opinions.
2.See a psychiatrist as well as a psychologist.
Mental health problems stem from two fountains: Thought pathology, and neurochemistry. Your psychologist is really only schooled on the former, while psychiatrists are specialists of the latter. If you have a mental health issue that has been going on for a long time, you probably have a chemical imbalance that needs medication to treat. Some conditions can be "cured" with therapy over time, thanks to brain plasticity. Other conditions, not so much, and you may be on pills for the rest of your life. But if a pill a day means you're a happier, healthier, more productive person... it's not a bad trade off.
3.Learn more about your condition, and mental health in your country.
Mental health suffers from taboos and stigma not associated with most other disorders and physical afflictions. As such, it isn't a "sexy" disease that can be cured with the right injection or sped up by fund raiser walks. This means that research and treatment methods for mental health lag behind physical health quite a lot, and breakthrough drugs happen less frequently. This harkens back to rule 1, shop around. If you're put on a medication that doesn't work for you, don't be discouraged, and try the next alternative. There's dozens of different psychotropic drugs that your psychiatrist may prescribe for your condition, which means the likelihood of getting it right on the first try is sort of low. I went through at least 9 different medications before I found one that actually worked with no side effects.
4.You're going to need a coping mechanism.
This tends to come much later in therapy, after your therapist knows enough about you to understand how your condition manifests and what your personality is like. That said, it's never too early to start some introspection and learning about yourself and how your condition 'works'. Why are you depressed? That's a hugely loaded question, and something you may not be able to honestly and accurately answer until you plumb the depths of your psyche. Find something that makes you feel good, preferably something easily accessible. It may only make you feel good when you're doing it, or it may be something that brightens your whole day. How long it lasts and how good it makes you feel is less important than the fact it makes you feel better than when you're not doing it.
Strange as it may sound, playing video games by myself is one of my coping mechanisms. It distracts me from everything else going on in my life, it relieves social anxiety since I'm alone, and it gives me achievable short term goals and most, if not all, of the tools to complete them. I have some other coping mechanisms as well, including some mini-meditative mental exercises.
Your thoughts and brain chemistry are as unique as your iris or your fingerprint. What works for some people, may not work for you, and vice versa.
5.Don't be discouraged!
Seriously, it took me over 20 years and a dozen shrinks to find the right combination of doctors and drugs to significantly improve my condition. A lot of that time was wasted on being discouraged and stopping treatment when I didn't have a good fit. My life would have been way different if I had stuck with it.
Good luck.