There's no place on the medical form that asks about your reaction to "gory images."
Your description appears to be one of no medical diagnosis.
You didn't say the basis for seeing your therapist, specifically whether this was a referral based on a clinical diagnosis, or if you're seeing a therapist to work through issues. If this is an undiagnosed visit and you've elected to continue the therapy for your own purposes, it may be best to leave it at that and not bring that up.
Issues surrounding depression, medicated or not, can become a sticking point; if you haven't been diagnosed with depression, but are visiting with a counselor for anything from fear of large spiders in striped suits to divorce to getting in touch with your inner llama, that's up to you. I'd avoid referring to the issue of depression though.
You should be aware that if you present the issue of depression to the FAA, regardless of medical use, it does trigger a requirement for a mental health evaluation. Certainly if you have a psychological, emotional, or other need for counseling, you should receive it: this is more important than anything else; my comments here strictly regard the medical issue as far as certification. If you do stipulate to having depression, it becomes a mandatory evaluation, which will add expense (potentially considerable expense).
If you are indeed experiencing depression, then before you do anything else, I'd certainly seek some consultation before going for your medical. There are services that address this. The aircraft owners and pilots association offers services to guide you on this, as do other operations such as leftseat.com. I'm not telling you to withhold information, but there is more than one way to go about presenting, and you need to ensure that you should or shouldn't report in the first place. Don't report until you've had some discussion with your personal information, with an entity that specializes in this. AOPA is a good place to start.
As far as your dealing with carnival rides and gory images, these aren't disqualifying conditions. I don't like carnival rides. Some of my flying involves some wild rides at times (flight through forest fires, for example); it's very different in an professionally maintained and flown aircraft vs. the tilt-a-whirl, that's assembled and operated by a meth addict with a third grade education who can't remember last night. I hate ferris wheels, and I find myself thinking of little else but undiscovered cracks in the roller coaster. Not really a medical issue, but one of self-preservation and caution. It's healthy, actually.