Advice: You just need to think positively!
Reality: The thinking patterns of most people with depression have this lovely think called rumination, where you think of the same horrible thought over & over & over again. There have been studies done that are showing that the ability to look at a situation in multiple ways is part of how humans evolved. For the most part normal people can look at a situation a couple of times & move on. Where as people with depression seem to lack the ability to stop looking at the same thought or memory.
Advice: You just need to stop being so sensitive.
Reality: Where regular people can brush off something said off hand, people with depression can't. It goes back to the rumination. On top if that we are extremely self critical, another thing that can't be easily shut off.
Advice: It'll get better.
Reality: I'm not sure about all depressed people in this one, but in my situation & within a group I was a part of I did see this, that looking to the future is almost impossible. People with depression over analyse the past, & some barely notice the present, so the concept of a future is too much for us to plan for, let alone look forward too.
Those are the ones I can think of right now, trust me with my years of depression & family members who aren't very tactful, I've got more.