I don't know why people keep saying this. It most certainly can help lighten your mood to do something you enjoy. If video games are "your thing" and it makes you happy to play them, it can help you work through your depression.
I went through a really nasty breakup a long time ago, right around the time Twilight Princess came out. I holed myself up in my room, losing myself in the characters and the world. It took my mind off my situation for long enough that when I emerged, it didn't hurt as much as it did and I began to be able to examine things objectively and removed myself from the raw emotion of what had transpired. Every time I think of that game, I think about how it helped me sort my shit out and get better.