Depression is not a diagnosis. It's an abstract state and abstract concept and a symptom of some deeper problem.. possibly psycho-social, possibly environmental, possibly biological, possibly spiritual.

A therapist cannot diagnose you with depression, because it's not an objectively verifiable condition or disease, and because therapists lack the knowledge to apply differential diagnosis in order to get to root causes and real diagnoses.

Things like GAD and MDD are arbitrary categories. You don't go from not depressed to depressed by crossing some make-believe threshold.

Depression has never been shown to be a biological condition, but having a mental health professional hand you a stigmatizing "diagnosis" is almost certain to alter your biochemistry, maybe for good, and might do far more harm than good.

I'd say if something feels not right, the goal should be to uncover the underlying cause, and to actively avoid psychiatric diagnoses. I think the therapist should do nothing more than listen and be supportive. Beyond that, they are likely in pseudoscientific and dangerous territory.

Being alive = empty feelings. It's called existential despair/angst/etc.