OK, from what I gather, you seem to feel like it's a chore but enjoy it all the while your doing it. Well, I would utilize
rahl's advice but first take relaxing exercises. Maybe Yoga or meditation. I know you said depression and not anxiety but the key to relaxing is not to get interested in sex but temporarily relieved from daily stresses. Once you get a break through meditation, you will be better poised to think about and tackle your day to day issues.
You said you frustrated by the issue but seeing as you also said you enjoy the activity I can say with certainty there isn't anything to be stressed over. The fact that your seeing a therapist and came to us means your working to resolve this. It will take time but your asking for advice means it won't take too long. You just need to see things a bit more clearly.
Remember meditation is not about reflecting on your inner self and all that jazz!! It's about going into a quiet room and thinking ONLY about your breathing. Yes, thinking about nothing at all is the key here. Once you realize that you shouldn't be frustrated by something that you enjoy, then you'll find out the real reason you have all this guilt built into sex and remove it.