You have no reason to be depressed??? What kind of therapist are you going to? Excuse me, I shoudln't criticize your T, but if he really said that, you may well ask him for explanations, because it sounds quite stupid.
We are depressed for reasons that are partly genetic, partly biochemical, and partly psychological. The latter are the only possible that we may know, but they are buried somewhere in our childhood, possibly the fetal part of our life... they are absolutely unknown and absolutely real, like a black hole or a quasar.
Propose these subject in your next session and if the T will dismiss it go find another therapist!

I see you are in the guilt zone. Before you can heal your depression you must get out of that zone. Who could help you if not your T? He should help you understand that nobody you are not bad, not guilty, and you shouldn't be sorry for anything.

I heartly urge you to address these issues with your T, and feel free to evaluate his performance. This is too important, therapy is the only way out, it must be done well.

YOU ARE NOT GUILTY, and you are not even on trial. Remember!