Going on the run or a walk in the forest is great and might help some people feel good about themselves. But it's not fucking medicine. Depression, Anxiety, ADHD, etc are legitimate medical diagnoses.
You wouldn't tell someone who broke their leg to "try to imagine it's not broken" or ask someone with the flu "have you tried not being sick?" That's exactly how fucking stupid it sounds when you tell someone with Depression to "try to be happy." It's not helpful, it doesn't work, and it'll only make them feel even worse.
You know what does work? Therapy. Medicine.
Admitting you have Depression/Anxiety/etc does not make you weak. Ignoring your mental health problem, letting it fester, and not getting help is what makes you weak.