A mental construct is something we can imagine and discuss but not see. Therefore, you could say that all illnesses are mental constructs for all we see are the symptoms. We can see the symptoms of Depression right enough: inability to cope with everyday life such as getting out of bed in the morning, seeing to meals, let alone work duties. The absence of any pleasure or any enjoyment at any time is pretty disabling.
I doubt if depressives feel this is a mental construct that's overrated. There is reactive depression (e.g. after death of a mate) and endogenous depression, which is an illness. What might be overrated is the tendency of others to 'diagnose' depression without having the qualification to understand or recognise such illness. People can have temporary 'downs' - their football team lost, say - but this doesn't stop them operating normally. It is unwise to label someone 'depressed' if they just happen to look miserable. That happens to all of us on occasion.