It’s possible that the most important part of Harry Potter, the entirety of the series, is in PoA when Harry realizes that no one is coming to save him, that it wasn’t his father he saw casting the patronus and sending the dementors away. When he realizes that he has to save himself and he does it.
Also, considering how the Dementors represent Depression, I think the message here is very powerful and real. No one can save you from it but yourself.
That’s not true. The only reason Harry was able to cast a corporeal patronus powerful enough to banish the dementors away was that he already knew he’d be able to do it – he already knew exactly what he had to do, and he knew the outcome, that he and his friends would be okay. Harry saved Sirius and Hermione that night, neither of whom would have survived if they had to save themselves. Throughout the series, he and his friends work as a team to banish dementors. And when he is unable to conjure a patronus during the final battle in book seven, Luna, along with some other friends, save him, conjuring their own patronuses and reminding him that they are still fighting along with him. And as Harry walks into the forest to give himself to Voldemort, it is Sirius, Remus, and his parents’ presence that protects him. He doesn’t need to conjure a patronus, which would give him away.
So no. Depression isn’t something that one must fight in isolation. You have friends, you have support, and if you have access to them, therapy and medication might be helpful as well. Don’t let anyone, especially not yourself, convince you that you’re alone in this.