Hales64, I've been on both ends of this scenario. First, many years ago, I was the daughter who moved overseas with my husband and two young children, leaving behind devastated grandparents. They all put on brave faces, but I knew deep down that they were hurting inside.
However, I always remember my parents saying to me that, whilst they'd rather us not be leaving, it was an opportunity not to be missed, and the chance of a better life for my own little family. And we went with their blessing. This was all before the days of Skype/Facetime/etc., so not as easy to keep in touch as it is now. We have been very lucky to have had a good life, and our kids (now grown up), have had experiences that most only dream of. And our parents enjoyed many wonderful holidays with us over the years.
Fast forward about 25 years, and we're now in the position where our grown up children have spread their wings, and both of them live in different countries to us. Our daughter returned to the UK with her partner, and our son and his wife live in Asia, with our little grandchild. I now understand how my parents must've felt all those years ago when we took their only grandchildren away. But, I also understand that they have their own lives to live, and I want them all to have the best life possible. If that means that I can't be a hands-on grandparent, who lives around the corner, popping in everyday, and probably making a nuisance of myself, then so be it. Instead, we try to visit them as often as we can afford, and make special memories with them. I feel proud of what they've achieved, and wouldn't want them to have a lesser life just to please us grandparents.
I know it's hard for you right now, but it's early days, and it will get easier with time. Hopefully, your counselling sessions will help with your depression, which hopefully will be a temporary thing, due to the newness of your current circumstances. Make the most of regular video calls with your son and his family, and take joy in hearing about all their experiences.