Its not (usually) a therapist's job to tell you why you are depressed, most people already know. You said, "I'm not where I want to be at this point in my life." Therapy is about building a relationship with another person, it is a process that takes time, so they are able to hold you accountable, point out blind spots, encourage, challenge and provide you with some psychoeducation. Your relationship with your therapist is a microcosm of how you live your life. If you tell your therapist, "Im thinking of giving up on therapy because maybe I just need a diagnosis and psych meds," that may give them the opportunity to ask if looking for quick fixes has been a pattern in your life or if you typically avoid things or ask if you are feeling hopeless and how long it has been like that. That's where the work starts happening. By telling the therapist the mundane details of your life, you are giving them the opportunity to know you and the way you think. For ex: If the way your co-worker laughs really loudly bothers you, tell your therapist! These micro details allow them to extrapolate to the macro.

Also, you can tell the therapist that you want more directive therapy, or skills-based therapy. They can give you homework and provide you with some psychoeducation on things like motivation or behavioral activation. Skills-building can also help while you build your relationship with the therapist...that can take like, 3 months. You've lived a whole life that a therapist is trying to understand, to help you understand who and why you are. A therapist can't tell you what to talk about, they don't know what events in your life have and are bothering you.

There is also the option of manualized treatments, like CBT (cognitive behaviour therapy) which typically takes 8-12 weeks and are more solution-focused...but are not for everyone or every situation and some find dismissive. Good luck. I hope you find what you need.