When my nephew Aaron died at age 18 from huffing propane, his dad and I had this kind of discussion. Because I have a diagnosis of depression, I was able to help him understand the difference between the two. I could do that because my therapist at the time was able to explain it to me.
Click here to read "What is the Difference Between Depression and Grief"
Here's a video that talks about, "Grief: When It Becomes Depression."