It is understandable to feel anxious talking about difficult experiences or the source of your stress with someone you do not know. Some topics can be very difficult to talk about, and you many need time to become comfortable with your therapist and that is OK!
In your first session the therapist might ask you general questions about what kind of changes you would like to make in your life, or what you would like to address during your sessions together. They will usually provide an overview of the treatments they offer and the ways in which they can offer you support in meeting your goals.
You are ALWAYS in control when you are speaking to your therapist, which means what you talk about is up to you. In therapy, clients meet with a therapist to talk about their problems, and learn ways to work through these issues and have the life they are looking to achieve.