Have you ever wanted to or have included a character with a mental illness in your fiction? If so it's good to look at the character as a whole, to help avoid a walking group of symptoms in your story. Writing is stronger with well developed characters and a character primarily comprised of said symptom list will fall flat rather quickly. Plus to you wouldn't want to fall back on stereotypes either; i.e. the depressed character who is there only to be sad all the time.
Start with your character like you normally would. Who is he or she? What dreams, goals, aspirations do they have? What challenges do they have to overcome to achieve their goals and dreams? Who is their best friend, who is their worst enemy, and so on? You should have a good feel for these sorts of things before moving onto the mental illness portion of character building.
When it comes time to work on their illness, the Diagnostic and Statistical Manual of Mental Disorders (DSM) contains various illnesses and the symptoms associated with them. Again be careful of a symptom list. When making a diagnosis of a mental illness the therapist would look at how the symptoms are affecting the patient's functioning. For our depression example a person's normal behavior would be changed in some way for the diagnosis to be made.
With the illness figured out you can then go back to your character and see exactly how the illness affects him/her. If he's the type to normally go out with friends every Friday night would depression keep him home alone instead? And how would the changes in his behavior because of the depression make him feel?
I've only scratched the surface here, but I hope I have pointed people in the right direction. The Wikipedia article I linked describes various versions of the DSM along with the categorizations of disorders. Wikipedia isn't a very scholarly site, but it can be a handy place to start reading on a subject.
Disclaimer: I am not a clinical psychologist, which means I am not qualified to council anyone on their psychological illnesses. My bachelors degree in psychology merely gives me more knowledge about these types of topics which I am sharing here so they may be helpful for your fictional characters.