The former One Direction star sparked concern for his well-being when he pulled out of performing at London's Summertime Ball in June and the former 'X Factor' star - who almost took her own life after suffering depression - has supported the 'Pillowtalk' hitmaker.
Speaking exclusively to BANG Showbiz, the 25-year-old singer said: ''Nobody can comment on Zayn Malik, that he's not coping well - his life must be insane. No one else in the world can know what he's going through.''
Lucy - who married her partner Georgia Gordon in June - said that people enjoy seeing people fail and that people like herself and Zayn feel pressure to do well all the time because they don't want to be seen as a failure.
She said: ''Some people enjoy people doing well and mostly there's this morbid joy that people extract from people doing badly and unfortunately that's how the world works - they're constantly waiting for people to fall off that little podium and laugh at them and I think that's a deep fear that's set into anybody that's in this industry, whether it's acting, music or producing.
''When you're doing well, you get so much praise that you think if I stop doing well there's fear of losing that.''
Meanwhile, despite her ups and downs, Lucy says she doesn't regret going on the ITV talent competition.
She said: ''(Once you've been on the X Factor) You are treated very differently and it's difficult to get certain things or be invited to certain things because there's this stigma attached to it. I don't regret it, maybe things would have been slightly different ... regardless of capability or talent, you're all put into the same box.''
Lucy's new single 'Dear You' is aimed at raising awareness for mental health and she hopes the video, which she co-directed with Damien Reeves, makes others reach out to those in need.
She added: ''Only the lucky people don't deal with that [depression, anxiety] so I just wanted people to take that (message from the video) and think 'Oh my god that could happen to me' and 'I must speak to other people as well to see if they're okay', because that's all part of people getting better.''
'Dear You' is available for pre-order now and is due to be released on August 12.