That's definitely true, but I think the problem ends up being that when you're in the hole of depression, that kind of interpretation is against your current thought pattern. People say the latter as shorthand for the former, but when depressed that shorthand breaks down because the stupid fucking depression gets in the way and just says "yeah, but you can't cheer up no matter what, because you're depressed."

It's ridiculous cyclical logic, but it seems perfectly fine unless directly contradicting by someone else being very blunt (like with the more detailed example you gave)

I believe you just described cognitive behavioral therapy.

If you are suffering from clinical depression and try to change your thought patterns in some consistent way, you're probably going to fail. That's why there are things like therapy and medication to help depressed people. Most people can't self-help their way out of actual depression.

Remember, depression is different from unhappiness.