I think it's important that depressed people don't just think "oh alright, I'm sick then". Depression is a natural feeling which all of us are capable of and so only a small portion of the depressed people in the world should actually be sick. If you are depressed and don't know why, I figure you should take a moment and try to figure out if there's anything in your life you think might cause you depression and then try and can change that. If that doesn't work, consider counselling. A trained psychologist can help you figure out underlying problems which may not be appearant and can hook you up with medication if the problem has simply to do with brain chemistry.
If you can do that, it's almost guaranteed to work and it beats killing yourself and hurting everyone who care about you.
I suffered from anxiety myself for a while and the worst period of it was when I kept it a secret. Telling my parents and getting their support and then and seeking counselling were important steps on the road to recovery. It wasn't really as difficult/hard as I feared either.
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