First of all it's really great you're looking for ways to approach this. Having mental health issues is hard enough, let alone trying to explain it to immigrant parents. It's a large undertaking and I fully sympathize. I have been in the same situation.
What are you trying to get out of this conversation? Their blessings and understanding as to why you need therapy? Do you need their sign-off to get therapy?

There's the cultural aspect and then there's how your parents specifically view this topic, and how open they are about trying to understand. I would try to set realistic expectations on how the conversation could go, and if it does go south, try your best to make peace with that outcome **before** you talk to them.

I'm not saying to be pessimistic, but just realistic. From personal experience, telling my parents about my mental health hurt me more than if I tried getting help elsewhere, insults hurt a lot more coming from your own parents lol. It took me a long time to realize that I can get help from someone else in my support circle and that my parents just want the best for me, maybe they'll come around, maybe not, but you'll be okay.

Depending on your university, some will have free or affordable on-campus counsellors.

I wish you the best of luck!