Mental illness is a medical diagnosis that refers to health conditions that result in changes in thinking, mood, or behavior, or some combination of all of them.
The changes results in an inability to function well in our activities, for example, in school, work relationships, recreation, etc.

Depression is the most common type of mental illness, affecting more than 26% of the U.S. adult population.
Depression is persistently feeling sad or blue, for more than 2 weeks to meet the medical diagnosis, that interferes in our ability to function.

Check out the Centers for Disease Control and Prevention, the National Institute of Mental Health and the National Alliance on Mental Illness websites for information on mental illness.
Most importantly, they also provide links for online locators for various providers of mental health services.