There is a tremendous difference between depression and sadness. There is also a huge difference between sympathy and empathy. While everyone has been sad at one point or another in their lives, not everyone has had depression. Only those who have had depression can truly understand what it's like, and it can be insulting to hear someone say they understand what you are going through when you already know that they can't. It is natural to want to make people who are going through something difficult feel as if they are not alone, but do not feign a connection to their experience if it is not truly there.

Alternative: Instead of saying that you understand depression because you have been sad before, be honest with them and let them know that you cannot completely relate, but ask them to share their experience with you so you can better understand and try to help them through it.