Hi there
It must be a very difficult time for you at the moment dealing with the pressure of your GCSEs, struggling with depression, worrying about your dad and your own feelings of sadness at losing your Grandma. I'm assuming that since you've seen a psychiatrist and are now on anti depressants that you have had a diagnosis of depression. It can be a very lonely illness to have as people around you can't see like they would do if you had a broken arm for example. Depression is on the inside and other people can think that you're just withdrawn or moody or can't be bothered. I'm wondering if you fully understand the symptoms yourself and how your medication works, especially as you have thought about death. Feeling suicidal and self harming can all be part of depression - if you have any questions your doctor will be able to help. Take a look the Mind website as it has some useful stuff there about what causes depression and things that you can do to help yourself as well.
It seems that you did get something out of talking to the school counsellor and the only thing that's maybe stopping you from going back is your lack of confidence in arranging a new appointment. Perhaps you might be thinking, what if i don't know what to say? Or what if I get embarrassed? Or maybe you're just not sure how to go about making an appointment? Get a pen and write down a list of all the reasons in your head that are holding you back, and try to leave nothing out. As you read down your list there may be a couple of things that you think to yourself, no, I can sort that.
If you feel there are some things that are just too big an obstacle for you to deal with, that's the time you could talk to a ChildLine counsellor. You can ask them to help you work through the things that are stopping you from getting a new appointment. You might now be thinking I don't feel confident to phone ChildLine either especially if you have never phoned before. Remember ChildLine is confidential, and you don't even have to give your name if you don't want to. You could say Sam told you to ring and that might help to get you started.
Could I also suggest talking to your dad and maybe telling him that you are worried? It might be nice for him to know that you care the way you do and when you are at it maybe tell him how you are feeling. I don't know what your family relationships are like but it is really important that the people closest to you know what's going on. They can then look out for you and support you in the right way.
Good luck with the exams and try to keep playing sport - exercise is really good for stress!
Take Care
Sam