Good for you for getting the ball rolling on this -- it's not an easy thing to do.
If you're asked for a reason by the person who schedules your appointment, it's fine just to say you have problems with depression and/or anxiety; either or both, depending on what you're comfortable with. Heck, those two just mean you're normal, these days... If the therapist is someone who really specializes in gender issues, you can also say you're questioning your identity, or something to that effect; there's no need to be more specific.
Your therapist won't expect you to come in for your first session and immediately catalog everything you're concerned about -- part of their job is to help you figure that out, and that's a process which can take a while. Any decent therapist gets that people are going to be pretty nervous when they're coming in for the first time, and will care about helping you feel comfortable.