I've had depression for many years, pretty much since my early teens. Most of my life I was called "moody" or "lazy" whenever I had any episodes of deeper depression. If I said anything about feeling depressed, I'm invariably told something along the lines of "Other people have things really bad" and "Your life is pretty good."
It's gotten to the point that I will actually tell MYSELF these things. Why be depressed when life is much better than it could be? "Things could be worse" and other useless phrases would be slung at me, or creep out of my own inner thoughts. The worst "Cheer up, things will get better!" if I had some sort of valid excuse for BEING depressed at the time.
The thing is... things could ALWAYS get worse. If you stub your toe, someone else broke their leg. If you break your leg, someone else got theirs amputated. If you have a bad week, someone else lost their job. Your car gets a dent, someone else totaled theirs!
But... what only some people seem to realize is that if someone else has a broken leg, your stubbed toe doesn't hurt any less! Just because it WILL probably get better, doesn't make it any better right "now".
And what even fewer people realize... Depression almost never has a single tiny thing to do with any facet of reality. It doesn't take your car engine blowing to cause depression to set it's hooks into you. You don't have to be injured, sick, poor or stressed in order to be depressed. Things can go wonderfully and you can still be depressed. It's an issue in your brain, things with chemicals that are out of whack, not balanced, not enough, too much.
I'm a lucky person. My life is decent. But I have depression. I'm again, a lucky person though. I know I have depression and I know that the moods will pass and my depression will lessen. So when I have a downswing, I can tell myself that in a few days, it will pass and things won't seem so bad. During the downswing, I distract myself, concentrate on the good things, pet the rats, fuss over the dogs, look at my pythons and enjoy my work. It helps just enough.
On the upswings, I enjoy things and I try not to think about the inevitable downswing.
So when someone does confess that they are depressed... don't think to yourself "Geez, she/he has everything! What does she/he have to be depressed about??". Don't tell them "Other people have it worse." Just accept that they trust you enough to confess. Ask "What can I do?" The answer might be "Nothing, I'm fine." but I guarentee the offer will help just because they know you might have some understanding and you CARE.
Sometimes I call a friend and we talk about nothing. It's not what they say or do, it's that they care enough to chat on the phone with me... or go out to lunch... whatever. Sometimes I just sit alone and feel lousy.
My life isn't so bad. Sometimes my brain chemicals do thier best to lie to me though. The fact that I have other health issues doesn't help at all. But, over all, life isn't bad.