I suspect it depends on the individual since each person may handle any given situation quite differently from another. Being depressed is incidental (as is being neurotically happy), but I would be concerned that the reaction from someone who is actually depressed could potentially be more dangerous (more likely to themselves).
I think it would also be important to understand the root cause of the depression (e.g., psychological, physical, a recent nasty divorce that separated the person from their children, a recent death in the family, survival of a violent illegal act, a wrongful criminal conviction, etc.), the person's environment, other mental/health conditions (e.g., they could be taking anti-depressant medication to counteract the side-effects of some other medication that is post-treatment for a recent life-saving surgery, in which case telling them to "toughen up" may only create more stress for them without actually being helpful), etc.
All of these factors (and many others) are very difficult for any study to take into consideration. If I knew someone who was depressed, making sure that they were at least getting some help from an expert who is qualified to deal with depression properly would be higher on my list.