Other things that get said:
- There's no such thing as mental illness, it's all in your mind
- You've got nothing to be sad about
- It's your own fault you're depressed
- Pull yourself together
- You're just being lazy
Saying this denies that there is anything actually wrong with the depressed person, and implies that they are just making it up. This piles on the guilt again! A mental illness can be defined as one that affects the mind; the brain is allowed to get ill, just as the liver and lungs are.
Depression isn't about being sad, often the real situation may well have no effect on the disease at all. This statement misunderstands the disease, depression can have an origin that has nothing to do with the surroundings of the sufferer. Depression may make you feel as if your emotions have been switched off, leaving you less sad than numb and empty.
This is the kind of thing that Job's "comforters" said, and it didn't help then either. Bad things can happen to good people. Denying this hurts the sufferer.
If you've been trying, someone saying this to you comes across as "You haven't been trying hard enough, do more, and more, and more until you get it right. " So back you go, trying more and more, and still getting nowhere because you cannot pull yourself out of depression by your bootstraps, and you can't fix a medical problem by force of will.
One of the common features of depression is a disturbed sleep pattern. This can often take the form of waking early each day (say 2 AM) and being unable to get back to sleep. Multiply this over several months, and the results can be severe.
On top of this, everything is screaming that the world is a horrible place and nothing is worth the effort any more. Acting like a spring bunny is just plain out of the question. It is not laziness, it is a consequence of the illness.