I went through the same exact thing at age 15-20 that you are going through now. I am not the type of person to open up, so I held it all in, and only hurt myself in the process. At 19 years old, I finally made a doc's appointment for myself and was put on lexapro. The medication only made me feel like I wasn't myself, like I was living a lie.
My advice, do not go on medication usless you *really* need to. What helped me a lot was to keep a *special* journal, one that I could write down all of my deepest darkest feelings in and not have to worry about anybody reading it. I used to write a lot of poetry before the depression, and I found that even depressing poems are a good way to vent your feelings. I have always loved nature, and at the time I found that just watching the rain or going for a walk by myself helped me to clear my mind.
All I can say is that it takes time, and lots of it. You are fortunate, you have supportive parents, and parents who can also afford to send you to a therapist. I did not have those things. You should take advantage of the good things that you do have going toward helping you.
Don't ever give up hope. I speak as a person that still deals with depression on a semi-regular basis. I have excepted that this will always be a part of me, at least for now, but you don't have to be that way. You sound as though you have so much support and understanding, and those two things matter the *most*.
Remember, your life is good! You are alive, healthy and free! Be thankful for those things and think of your blessings often, and soon you will realize what is important in your life and things will straighten out.
You have my best wishes!
P.S. I was raised christian, luthern,but open-minded. My parents did not support any thing other than believing in god and the lord, so I had to follow for lots of years. But I found the most comfort, calm and enlightenment during my depression when I started to study other beliefs such as budduhism. It is not a religion, but a system of beliefs, and many encouraging thoughts and bits of wisdom. Try reading some budduhist books, if not to follow just to enlighten and get into a different frame of mind which is what you need.