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Figure out if you want to involve someone else first. Think about the rapport you have with your doctors. Manage your expectations.

Article:
Some people need a support system before taking the next step and actually seeing a doctor for depression. Before you choose to see the doctor you may want to consider if you want to involve someone else to come with you or be supporting you and rooting for you to get well.  If you are a religious person, you may want to talk to your pastor or clergyman to gain the strength to get help. If you have a close family member or friend who has dealt with depression, you might get support by asking him to attend the appointment with you. You may be comforted by the presence of someone who has experienced something similar to what you are going through. Before you make an appointment, consider how you might bring up the subject of your depression and how you will feel. If the thought scares you, and you don't have someone to go with you for support, you might think about choosing a different doctor to talk to about your depression. Understand that your primary care doctor isn't the only choice.  Some people may have more regular visits or feel more comfortable with other doctors, such as a gynecologist/obstetrician or a cardiologist. You can always talk to this physician about your symptoms and then she can refer you to a mental health specialist. In an emergency situation, an ER doctor or hospital mental health professional can provide support and give you information on where to seek help when you leave the hospital. Other professionals or places where you may be able to find help include clinical social workers, a counselor at a community mental health center, University- or medical school-affiliated programs, state hospital outpatient clinics, family service/social agencies, private clinics and facilities, employee assistance programs, or local medical and/or psychiatric societies. After you choose which doctor you want to talk with about your depression, think about your goals for the visit. What would you most like to accomplish from seeing your doctor?  Be sure that your expectations are reasonable. Choose one or two small, realistic goals for the visit. For example, going with the goal to get a diagnosis and stop the symptoms is huge and unlikely to be reached in a week. However, going with the objective to let your doctor know about your symptoms and learn more about depression is realistic and likely to be met.