> You might be depressed because you life objectively sucks

The problem with this that to a bad situation different people react differently - some trying to do what they can to improve the situation or at least don't make it worse and some give up and let situation to slip and become worse and worse (becoming a self fulfilling prophesy). It's not a choose one makes I think (it's likely a biological predisposition) but the difference is still exists.

People prone to depression genuinely believe the main (only) reason for a depression that the life sucks and as a result they avoid medical help and don't do anything which could help them.