It's important to remember that emotions like depression do not happen to you. You don't "catch" depression. You create it, like every other result in your life, through specific mental and physical actions. In order to become depressed, you have to view your life in specific ways. You have to say certain things to yourself in just the right tones of voice. You have to adopt a specific posture and breathing pattern. For example, if you wish to be depressed, it helps tremendously if you collapse your shoulders and look down a lot. Speaking in a sad-sounding tone of voice and thinking of the worst-possible scenarios for your life also helps. If you throw your biochemistry into turmoil through poor diet and excessive alcohol or drug use, you assist your body in creating low blood sugar and thus virtually guarantee depression.
My point here is simply that it takes effort to create depression. It's hard work, and it requires specific types of actions. Some people have created this state so often, though, that it's easy for them to produce. In fact, often they've linked this pattern of internal communication to all kinds of external events. Some people get so many secondary gains -- attention from others, sympathy, love and so on -- that they adopt this style of communication as their natural state of living. Others have lived with it so long that it actually feels comfortable. They become identified with the state. We can, however, change our mental and physical actions and thereby immediately change our emotions and behaviors.