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Katy Perry got emotional during a live streamed therapy session ... saying she's ashamed of thoughts she's had in the past when she was depressed.

The pop star was speaking with Dr. Siri Sat Nam Singh -- known as "The Therapist" on Viceland -- when she opened up to him about suicidal thoughts ... something she wrote a song about.

Perry also discussed love issues ... like how she just recently learned how to hug.