This can be done at several ways.
(1) I saw this in another thread
[album id=all template=compact orderby=name order=DESC]
It didn't seem to work for me but maybe it's ok for you.
(2) You can set the order of albums or galleries in Gallery -> Album. If you don't already have a top level album you will need to create one. Select the top level album in Gallery -> Album and then drag drop the other albums into it in the order you want. On your website page you then use the shortcode for the top level album.
[album id=your-top-level-album-id template=compact]
(3) I order my albums manually by using several shortcodes as I like to add <h2> headings for SEO eg. http://japaneseartsgallery.com/gallery/ which is done by...
[album id=x template=compact]
[album id=y template=compact]