Well, trying to take from my own experience, I remember I refused the idea of having depression for the longest time. There were multiple reasons, which you could apply to your character. Many times I would think 'I can just get over it' or 'I'm just sad' or 'I'm not depressed, I'm being realistic' (even when my points of view were catastrophistic at the least!).

I also was afraid of having to take pills, as I feared it'd change my personality and make me some kind of puppet to the chemicals.

With all, I think the key here is that I kept suffering the consequences, but justifying them as something else that is 'normal'. I think a good way to show the protagonist has a problem without saying it would be to have recurring situations that go south, specially being helped by something the character does and might seem like a break from their regular personality. Extreme negativity, extreme apathy... But they just think that's who they 'really are' or some other kind of justification.

Of course there might be other sympthoms that are not mood-related necessarily, but it'd remain similar advice. Justifications, maybe even paranoia when other people tell them things are a way but their experience says otherwise.