I think it comes down to education. Same with anxiety that I and friends have. People that don't experience depression or anxiety can't relate to what you're going though. It wasn't until I sat my spouse down and explained what I go through that she understood and works to help me in those anxious times. So essentially, like you said, say something! Don't be afraid to tell people how you're feeling. It's better to know people have your back than trying to go it alone.