You don't have to say anything. Words are just words, they mean nothing until you can see some actions, deeds. If you care, just be with them. If don't, then don't even bother to say something.
It is not that depression and other psychological issues are fake, it is that some people refuse to do something about it or let someone else do something about it cough rora cough in order to get sympathy, attention, compliments whatever from others.
Depression from one's chemistry can't exactly will that sort of thing away that easily.
It's "discouraging" since it suggests that they're that way out of choice, that continuing to think that way is their fault, that they're too weak to improve, etc.