your profile doesnt say how old you are. if you are still in school, you can enlist the help of your school counselor. talking to him/her about your depression, they can contact your parents and break the news for you.

otherwise i recommend doing some reseach on depression and going in armed with the facts; signs and symptoms, treatment options, etc. then sitting down with them when you are doing ok and just starting by letting them know you have been struggling lately and that you think you are depressed. then educate them on the signs of depression and let them know which ones you have and that you feel you could benefit from talking to someone. if you dont feel you can sit down with them, write it in a letter and give it to them.

good luck