I've got clinical depression. What this means is that there is something fundamentally wrong in my brain that causes me to be depressed. There is no direct environmental cause that makes me depressed. Now, here's what many people get wrong about severe depression:
Severe depression does NOT mean that exercise, a healthy diet and getting a social life won't help at all.
Rather, depression completely drains your motivation to do any of those things. Which in turn make you more depressed. Which makes you even less likely to do any of them. And so on and so forth. It's 'positive' feedback, but it starts with a neurological problem. This is why all the 'cheer up'-sort of advice doesn't help people who're depressed, and why it tends to only make them more miserable.
Of course, this is only my experience. I'm quite sure there are plenty of people who are depressed for reasons found in their environment, and then get stuck in the same loop. But it would be ridiculous to presume that I'm unique in this regard.