Hmm he doesn't sound very empathic does he? But like Mazing said, first interviews are more about history taking, why are you here etc. What is this person's qualification to help you? Is he a qualified counsellor?
Can you ask for someone else or is he the only option? The thing is there are many complex reasons for depression and often there is a serious underlying reason for it ie childhood trauma. (especially since you've been displaying symptoms since you were a young teenager. ) So you really need someone who understands about all these issues.

I think if you're really stuck for options then give it another chance and see if it was just a bad session. But if you really hate it, get a referral from your Dr surgery as most have a counselling service at the surgery. Alternatively, private counsellors usually do a sliding scale fee so you may be able to find more choices that way.