Is it normal to feel really, really nervous when it comes to talking to your doctor about depression?

Yes: I would say it is fairly common for most people to have some anxiety when seeing their doctor no matter what the issue may be. Just be honest about how you are feeling. We are not here to judge others, but to help. If you think you might forget to mention things to the doctor due to the anxiety, write it down. That may help ease some of your anxiety from having to remember every question.