While I haven't dealt with that precise situation, I know from experience that it is more likely that your friend (deep down) does recognize their own mental health issues, but confronting that will require them to change their perspective on the things they have valued for years.

When I was being abused, I knew deep down that it wasn't right. All my friends told me so. But recognizing that abuse meant I had to change how I view myself and my experiences for months (if not years) before, and that's really hard. It's easier to live in a delusion that everything is okay.

If they are as depressed as you suggest, they probably don't have the energy to reframe their entire experience around the facts you are presenting to them, regardless of how believable those facts are.

You cannot 'save' your friend from their self-destructive behavior, and you should stop trying. Instead, do your best to acknowledge them and make it known that your friend can trust and rely on you. Hopefully, your friend will reach a point in their life where they have the energy to start working on becoming healthier, and you can be supportive of them then.

I suggest looking at this WikiHow article that deals with a similar issue: https://www.wikihow.com/Help-Someone-Who-You-Think-Is-Cuttin...