Because , regardless of the studies you're talking about, the two things most correlated with improving depression are therapy and exercise. Also, most folks realize that they have zero training in dealing with depression, so if a depressed friend asks you for advice, it's almost irresponsible to give them anything besides suggesting they talk to a therapist, though it's always good to listen.
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I've also heard that having a purpose/finding meaning in life really helps too, and a therapist can help you find that, and exercise is something where you can make achievable goals and achieve them.
The causes of depression are varied and no single thing works for everyone, but therapy and exercise are frequently part of the solution for most people.
So yeah, I think it's pretty good advice.
“See a therapist” is just worthless advice, especially when it’s unsolicited.
Therapy is not free and getting insurance to cover it can be a nightmare. Waiting lists can be ridiculous. You can live in an area where there’s basically no good therapists - where your options are someone who wont do much other than print off CBT worksheets, or worse, unethical shit like conversion therapy if you are queer.
Some people have also been severely traumatized by their experiences with therapists and the mental health care system. (“Quit your job to make your abusive husband happy!”)
It sounds like you live in the USA, and I feel for you. It's not the same everywhere. Some countries actually have a more than semi-functional healthcare system.
Tell me what's a better option than going to a healthcare professional.