This is often the case when a patient has an embarrassing problem - bad breath, body odour, a rash in a sensitive area, for instance. However, it is sadly true when a patient is feeling depressed too. People wrongly believe they'll be seen as weak, a failure, even crazy. They worry that it will affect their job prospects, and in the case of post-natal depression that they'll be thought of as inadequate parents.
Many people also feel guilty about the fact that they've become depressed.
They shouldn't, it's nobody's fault. Depression is more common than you might think and affects around one in twenty people in their lifetime. Your GP isn't there to judge you, he or she is there to help you. They're not going to be shocked, surprised, or unhappy about what you say. In fact, they're likely to be pleased because by opening up to them you'll be making it possible for them to help you get better.