Indeed, and my own internal explorations have indicated that "learned helplessness" is probably exactly what's going on. Watching myself and my cognition patterns when my depression kick in have shown me that the root problem is an early overgeneralization of "Strategy S(1) didn't work, S(2) didn't work, S(3) didn't work, S(4) didn't work, S(5) didn't work..." into "Strategy S(s) won't work for all s". The actual 'depression' is then just a perfectly reasonable resource-conserving strategy, given the (probably faulty) assumption that no identifiable strategy will offer a positive payoff.

In general, though, the problem with the "no one can help you but you" self-help rhetoric is that it pretty much throws under the bus everyone who has been trained to be their own worst enemy. If you want highly rational depressives to stop being depressive, I think the best strategy is NOT to tell them to go out there and take more risks - it's to put then in a controlled environment where they can be rewarded for exploring and taken care of when they run out of willpower, and then slowly train them to update out of their learned helplessness, build successful willpower-replenishing strategies, and restructure their social model to positive-sum instead of negative-sum.

I'm betting you'd have a better chance doing this with depressive people whose family/friends have a lot of resources, than you would doing this with depressive people who are surrounded by poverty and social malaise, but then resources are a direct measure of how much a capitalist society cares about a given member, so maybe that's as it should be.