If you go to see a psychologist you can receive counseling on a confidential basis. However, in most countries, the psychologist is obligated to ensure you do no harm to yourself or any others. So if you are depressed to the point of potential morbidity, the psychologist may feel obliged to inform any appropriate authorities.
Best thing is go see your GP and get a referral to a clinical psychologist. Once there, establish the ground rules before you say what you do. Maybe keep the name of your employer confidential if you are still concerned.
Addressing the situation you face, whatever it is, is the best way to resolve it. It's smart to enlist professional help.
Winston Churchill once said "Most of the problems in my life, never actually happened". I don't want to trivialise your situation, but it is possible with professional help you may be able to resolve all your issues and wind up a far better and much happier human being.
Depressed people make errors and drag down those around them. For your own sake as well as everyone else's, take the opportunity to get some help.
There's no shame, I assure you, as someone who has been there, done that, and survived.