no, formal diagnosis is not needed for therapy. therapy is just spending time with a treatment provider to work out any problems you may be having. since you are in therapy to work on your depression thats what it is for you. depression. if you are in therapy to work on a combination of problems then you are in therapy for that combo of problems...

sometimes combo of problems will be so severe that they do add up to a formal mental disorder labeling. but most people in therapy do not get a formal disorder labeling...

example work stress is not a mental disorder label, neither is having nightmares,, neither is going through a divorce, or needing to do family therapy because a child is having trouble in school.

being depressed and needing to be in therapy for depression doesnt need a formal mental assessment and diagnostic labeling.

what makes something a "disorder" where someone gets an actual diagnostic label is the number of problems and how severe those problems are.

it may be that your depression doesnt have a whole mess of disorder symptoms and isnt severe enough to fit on the "disorder" scale. and thats ok. it doesnt mean you cant work in therapy on these problems, it just means you dont have a foot long mental disorder name for your problems.

here in my area, treatment providers have actually moved away from mental disorder naming. focus on the problems not the disorder name is what we go by here where I am.