There is some truth in what you're saying but you're overly dismissive of the very real and not-actually-rare issues of depression, which have physical causes and treatments just like any other human ailment.
Telling someone who actually has depression--that is, a brain chemistry imbalance that causes negative feelings--to toughen up is about as helpful as telling someone with a broken leg to walk it off.
In my anecdotal experience the link between lack of exercise, poor diet, and depression is very strong. Hopefully there is more research into this area, but the main issue with it is that depression and SB is methodologically weak. What counts as "depressed" and "sedentary behavior" are extremely open-ended. http://www.ncbi.nlm.nih.gov/pubmed/20174982
The thing is, "toughen up" is not taken to mean that, particularly by someone who is depressed. It's taken to mean "stop complaining, there's nothing wrong with you", which can be very damaging for someone in an already unstable mental state.
