Much like many other professions, psychology has a set of rules of ethics. In fact, the APA code of ethics is used as the template for many other professions.
A psychologist is bound by the code of ethics. A major part of this code is confidentiality. Apart from a handful of exceptions*, everything discussed during a session is held confidential by your psychologist.
* We will review and go through these codes of ethics during our very first session when I will explain informed consent and what it includes.