Hello! My advice would be to start out by brainstorming a list of feelings that result from your depression and anxiety. Write out a bulleted list of them, and when you think you have enough, choose three of those feelings. Then write one sentence for each of those feelings, describing the feelings themselves or venting your frustration at having to deal with them, or describing how those feelings affect your relationships with others, etc.
After you’ve written those three sentences, choose one of the sentences and expand it into a poem. Try to make the poem about how much you dislike the feeling that you wrote about in the sentence, and why you wish it would go away.
Then do the same thing with the other two sentences you chose.
After you’ve written those poems, write out another bulleted list, this time with feelings that you wish you felt more, like happiness or calm. Once you have the list, search the list and pick out three of the good feelings that are opposites of the bad feelings you wrote about in your three previous poems.
From those three good feelings, write three sentences. Choose one of the sentences, expand it into a poem, and write about how much you wish you could feel that good feeling. Then do the same with the other two sentences.
When you’re done, pair each of the three "bad feeling" poems with their corresponding “good feeling" poems (so the feelings should be opposites).
So now you will have three sets of poems. Each set has a poem about a bad feeling and a poem about a good feeling.
Read them and draw connections between them, and start thinking about how you can replace those bad feelings with the good feelings.
I hope that helps you! Best of luck with your therapist. :)