A considerable issue is that if a pilot goes to the company and says he is stressed or depressed or suffering any diminished mental capacity, he is usually taken off line and a black mark put against his name. Even if the condition is a passing one (e.g. due to a divorce, death in the family, financial woes), the pilot will still be earmarked as 'one to watch'. This in itself would mean that the system is operating as it is supposed to, but unfortunately any real or perceived reduction in a pilots capacity to handle stress will haunt his CV forever. Medical departments know what is at stake and err on the side of caution in most cases.
Couple this with the fact that there are no loss of licence policies that cover diminished mental capacity/mental illness, and coming forward to say you think you have a problem is as good as tearing up your pay check and kissing your career goodbye.