As someone who struggles with chronic illness and depression, I believe you're right.

I'm not a psychologist, but I've spent a lot of time with them learning about depression and how to live with it. It's all about incremental change. When I realize I'm slipping back into a depressive funk, I have to figure out what I did to dig this hole and start addressing that to get myself out. It's a matter of days or weeks. I'm not special. If I was special, I wouldn't get depressed. I just found what works for me through trial and error.

On the flip side, I have a friend who has been mired in depression for years now. He doesn't try to change his behavior. He has an inconsistent sleep schedule, rarely goes outside his house, eats poorly, doesn't exercise, plays video games 12+ hours most days, and, what I'd say is most important of all, won't see a therapist to deal with his current and early childhood issues. He seems to think that playing more video games, sleeping more, and avoiding any and all unpleasantness will make him better.

I've run into a few people like this and they seem to reflexively write off helpful advice for incremental change. You suggest something like starting out with a 5 minute walk, once a day, just to establish a healthy habit. The response? "A five minute walk isn't going to cure my depression". No shit, no one suggested it would. It's just a start to managing it.