Depending on the therapist, you can really talk about anything. Some might have a goal they wanna reach with you, but personally with my therapist we talk about DND and small talk about my work and school and such mostly.

First therapy sessions are usually a "get to know you" session, where you explain why you decided to start therapy and what you want to get out of it. The therapist will usually tell you about themself as well, and how they want to approach therapy with you given your goals. You generally don't get into very heavy stuff on the first appointment, beyond the basic facts of your history. If it helps your nerves to plan ahead, write down a list of why you decided to start, why you chose that specific therapist (if you got a choice), and a basic timeline of your mental illnesses and other notable events. Congrats on getting up the courage to make an appointment and go! It can be tough but it's so worth it.