It is well known that CBT (or any specific therapy) doesn't work for everyone. That is, in part, why there are so many different varieties of psychotherapy. A person does well in therapy when they have both a therapist who is a good fit for them and an approach that is a good fit for them. Recently I was talking to my psychology professor (a practicing clinician) about the data regarding CBT as a therapy for depression. She said that CBT works best for depression when the client has a certain style of automatic negative thinking and cognitive distortions. She said this thinking style is very common in depressed clients, but it is not found in all people suffering from depression. She said these are the people for whom CBT is not a good fit and they do better with other types of talk therapy. I asked her what the ratio was, and she said about 75% of clinically depressed have the negative and distorted thinking style and can benefit from CBT. (I wasn't sure if this figure was based on her experience as a clinician treating depressed clients or based on studies.) Just want to emphasize that our discussion was specifically about treatment for depression.

Yes, this is what I have observed as well. Emotions often precede thoughts. Just think about the evolution of the brain. The parts of the brain where emotion arises are the most primitive regions of the brain (present in lower animals), whereas the thinking center is the cerebral cortex, which evolved much more recently, and is a defining characteristic of the human brain. We experience emotion, and our thinking center steps in to manage the feelings, make sense of them, process them, etc.

That said, there is a body of literature too that looks at whether the negative thinking style seen in many depressed clients is an effect of the depression or a cause. There are data that show that people who are not depressed can have a negative thinking style, and this is a very high risk factor for later experiencing depression. So, it does seem in at least some people, the negative thinking contributes to the depression (rather than just being caused by the depression). I think there is no "one way" it works in everyone, and there are a number of different paths to depression (as well as effective treatments).