Studies by psychologists such as Alloy & Abramson (1979) and Dobson & Franche (1989) have put forward the idea of depressive realism. This suggests that people with depression see reality in a more accurate way than those that aren’t depressed!
The positive illusions of self-importance that many people have are absent for those with depression, who are often all too aware of their actual existence and self-image within the world. More recent studies however have disproved this theory.
They argue the opposite, that mentally healthy people have fewer illusions in general than depressed people! This has more evidence to back it up too. Whilst depressed individuals may be realistic this is often to an extreme, and is shadowed in negativity with an unrealistic perception of positivity.
In the end it comes down to the fact that the brain is a tricky thing to grasp! Many psychoanalytical discoveries can often be left uncertain and up for further speculation.