No... But I was diagnosed with clinical depression at 14 so maybe I could help from the other side :)
The worst thing my parents did was ignore it. They didn't say anything abut it, never asked me how I was, never gave me a hug, nothing. They took me to counseling appointments and that was it. It was awful and made me so much worse because I thought I had done something wrong and they didn't love me. My mum has since told me that they were both terrified of saying something 'wrong' and making it worse. I still can't quite get my head around that but that's water under a bridge.
I can also imagine that it would be extremely irritating to be constantly asked about it and checked up on! Hard balancing act then :)
Something that would have really helped me would have been for my parents to take away my vast collection of scary books and films. Some 'teen' fiction (think Point Horror, Point Crime etc.) is completely unsuitable for anyone to read, full of horrific, graphic details and psychological manipulation. TBH I think books like that aimed at teens should be banned. The stuff I read and watched then still gives me nightmares. Be aware that horror films are fairly standard at teenage sleep overs. Please don't allow concern for your teen's rights to choose what they read and watch overrule common sense and parental responsibility. Your child is in a very vulnerable place right now.
I don't which mental illness your teen has been diagnosed with but whatever it is, they will definitely be feeling scared too. Could you and your DH make an appointment to see your GP or other relevant HP for advice on what generally helps? There could be some specific things to avoid or other things to do that would be really great. There might also be a support group in your local area that you might find helpful.
My best advice: love them, hug them, reach out to them and never give up.