Want to get rid of my gun-- is there any confidential road for this?

I have a gun. Didn't even really want it, bought it off a friend to help him get some cash and preserve his pride. I've been having a really bad time. I want it gone because the idea of using it on myself comes to mind more often than I'd like.

Is there any military route that could help me with this without lighting a fire under my whole chain of command? As I recall, there are barriers to confidentiality if there's a perceived threat to life in most circumstances.

I'm working on getting in to see my psychologist and I'm trying like hell to get a grip. I just want the easy road to suicide to be out of my grasp.