Tauren is right, talking to your Pdoc honestly is essential to get the right help. Depending on your age, you may be able to negotiate a bit about how much they say, or at least how they say it, taking into account your concerns.

Your parents, however probably know you're struggling and almost definitely will assume it's to do with the divorce so, if you feel safe with them, letting on about some of what you feel may be a relief for them. If they are aware you are suffering, sometimes they think their responsibility for it is even worse than you feel it is (if that's possible) and they may feel unable to support you if you don't let them in.
However, you know your parents better than we do, so the decision is your yours.