“What happens in a CBT session?”

This depends on the client condition and the practitioner providing the service. Some online resources can provide insight to this, watching a mock therapy session for example.

CBT is an active approach to treating a variety of issues including depression. In sessions, you will learning a variety of skill sets to combat depression from understanding triggers, coping strategies, and understanding how you process events in a depressive mindset.

Basically the same as any sessions. It really depends on the therapist. You both talk and get to know one another and the therapist will try to improve your thoughts and actions.

As the client you would present what is on you mind that you would like to discuss in the session. For example an event such as losing your job just occurred and your thoughts go in a catastrophic direction to worst case scenarios etc, the therapist in the CBT session could spin or pivot your negative scary thoughts/perceptions regarding this experience etc. that would lend itself to your being less depressed by "reframing" your thinking or spin your perception of this experience to to more benign, less scary/depressing view. i.e. is losing your job the worst thing in the world you haven't liked working there for a very long but have procrastinated in searching for a new one.world. Perhaps then your losing this job could serve as a much needed motivation or "blessing in disguise" to secure a new one. Hence, the reframe would go from cynicism, hopelessness and fear to hopeful optimism and becoming less depressed

Take a peak at this link...
https://www.webmd.com/depression/guide/cognitive-behavioral-therapy-for-depression#1