You can't "support" a person who is lying to themselves. You call them out -- they hate you for it. You support them by "believing in them" -- you deepen their investment in their lie. Nobody wins.
Why is it that people all agree "it's mentally hard running a startup"?
Is it really so hard? Or is that another face of the grandiosity at work?
[1] Obviously I'm not saying this is the cause of all depression or even all startup depression. But I've seen it at work too many times to believe it's insignificant. And in terms of clinical diagnoses, grandiosity is a sign of NPD, and NPD is highly correlated with depression. I don't think a diagnosis of NPD fits an entire culture where grandiosity is the norm, however, but I do believe it can cause depression and not without good reason.