My ex has depression and she also saw a therapist every week. Do some research on depression and specifically, supporting someone that lives with depression and try some of the things you learn. Considering she's been seeing a therapist for a while now but only just told you, it might be a bit of an embarrassing thing for her, so hopefully you acknowledged to her how much it means to you that she opened up to you and let her know that whenever she wants, she should know that she can talk to you as well. In my experience, my ex was very open and keen on telling me about her sessions with her therapist and told me it helped her when she'd come home and discuss it with me. I refrained from giving advice when she told me about her sessions since I'm not an expert. My role during the chats were to listen. Not sure if that's the right approach.
This is probably obvious, but know that being with someone who has depression brings a very different dynamic to a relationship. Requires extra patience and the ability to cope with unexpected things that will happen. Best of luck to you and your girlfriend!
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