I know that it's easy to feel a lot of pressure to keep up with others or just compare ourselves to others, but maybe just try to take a step back and evaluate if you absolutely have to stay upbeat with this person.

Would things be so bad if you just allowed yourself to be yourself, and allowed your co-worker to be herself with no judgment? There's really no good or bad in this situation.

It's totally ok to not be ok. It's ok to accept that at this time you're struggling. Trust that someday, as you work through your depression you'll feel better, but for now just taking one breath at a time is enough. No need to meet someone else where they are at. Just do the best you can wherever you are on any given day.

Well I did try to be myself and she asked if I was ok and I seemed down. I’m not saying it’s bad that she did I just felt nervous to share my feelings or say I was depressed.

I don't know how depressed you are but keeping busy at a job can be helpful and better about yourself. I agree you do not have to keep up with your coworker, but I wouldn't myself tell her anything about your condition..
I just tell white lies at work if someone notices I look down. I can function depressed at work and it sounds like you can too. I am careful about telling stuff to people in general about how I feel or what's happening with me that I have 't checked out or especially at work..

If she can tell make up an excuse. She may be judgmental about people who are depressed. I don't give very info to. Peop.le I work with. You don't know what there opinions are about things. Try to not show how you feel at work and or talk up even if your down.. you can weather this bad time. You will get through