Oh man, just one? Really? Are you sure? There are so many to choose from! There's people using mental health terms like bipolar, ADD, OCD as colloquialisms. There's the "aren't you better yet?". There's terms crazy, insane, mental, and so many others. And of course, there's "calm down, relax" and "Just try thinking more positively". Grrrrr. *%&$%&!
But I think that if I had to choose the worst of the worst, it would be, "Why are you depressed? You have a good life." There are several versions of this - telling me how much worse off others are, for example. Telling me why I'm so lucky and shouldn't be depressed. But the theme that runs through all of these, even though people don't tend to voice it out loud, is that I'm not depressed, I'm ungrateful and spoiled. I'm privileged and don't even appreciate it. That's what this indicates. When someone tells you how depressed they are, and you reply with a list of people who have it worse, or a litany of all the reasons they're so lucky and "shouldn't" be depressed, you're saying you believe it's a choice. That they could not be depressed, but they're choosing to be. They're ungrateful for what they have and don't know what a tough life really is. They just need a dose of perspective. They just need to stop being a spoiled brat. That's what you're saying to them, in case you don't exactly realize it.
Guess what: this makes the depression worse. Because now, not only are we feeling depressed and hopeless and worthless, but because we feel so down about ourselves, you've now managed to make us feel guilty about our illness too. I know there's no "reason" I "should" be depressed. But that's like telling someone there's no reason they should have cancer. They do. Can you imagine saying, "Well, you eat well and exercise and you have a good life. Why do you have cancer?" They'd probably say something like "I don't f-ing know, because it's cancer. Why does anyone have cancer?" Ok maybe not the expletives, but you get my point. Depression is an illness. Saying or doing anything that indicates that someone "shouldn't" have it tells us that you feel it's not an illness, but a choice. Like we need an attitude adjustment or just aren't trying hard enough.
How could someone turn this around? Well, first of all, don't say it. But if you still want to ask why someone's feeling depressed, there are a few ways to do so. For instance, you can ask if something specific triggered it recently. The word trigger is key here, because it shows that you realize there's an underlying cause (i.e. the illness), but that external things can affect it. It's a way to figure out more details about this specific bout of depression, or even anxiety, without sounding insensitive and insinuating that you don't think it's "legitimate". Or them to tell you specifically how they're feeling. It allows them to talk about it, and you to understand better, without sounding accusatory. Ask what could make them feel better. It may be nothing. It may be simply curling up in a corner and crying. Or sitting next to you and crying, so they don't feel so alone. This is a way to offer something "positive" (in the way that it helps them) without telling them to look on the bright side, or comparing their life to others.
If you're ever unsure of how to ask someone about their mental health, or talk to them about it, ask yourself this: Would I sound like an insensitive ass if I said/asked this to someone with cancer or heart disease? If the answer is yes, you'll sound like an insensitive ass saying it to someone with a mental health condition too. If you use that barometer, you'll probably be just fine.