I've recently been diagnosed with depression and I have to take meds but I feel like no therapist understands?

They exist. Though therapy is one treatment for depression, the combination of therapy and medication is even better. Ask the doctor who is prescribing the medication for a referral to a therapist who understands that.
In early depression. This happens, but some are just so-so therapists. Even good therapists can sometimes seem out of touch when you feel badly. If you have a good one, give them (& you) some time. Finding a good therapist is not the easiest. Look for the ones who are: secure, caring, hopeful but realistic, & actively helpful while also 'accepting' of your symptoms. If that sounds paradoxical, it is-that's what works!