In the US you need to wait multiple months to see a specialist, about 9 where i live as a new patient, and/or pay massively out of pocket for a private specialist ( $300-1000 per session).
Your other option is to say you’re thinking of killing yourself, but this is a direct route to involuntary care which red-flags you and gets your guns confiscated with virtually no hope of having your rights restored, as well as a record that gets in the way of getting a new job, housing, etc.
So, if you’re the average depressed person, have zero friends and have non-zero guns, you’re kind of on an island.