What do I say? Therapy experience?

What do I say when I call around looking for a therapist for depression when they ask what's wrong? Idk whats wrong I have this deep darkness that just won't let up. I am just sad af. Are they gonna ask why? Or whats been going on idk im scared of talking to a stranger about my insecurities

Can anyone shed some light on what I can expect and how therapy helped you? I'm running out of options starting to feel like I need to leave this earth.