I personally believe its the feeling that leads to the thought that then reinforces the feeling, though it is also possible that the conscious thought can trigger the feeling out of nowhere. Often I will get the feeling of depression first, and then the thoughts about why I might be feeling depressed and what could be causing it, but the more I think about the reasons why I would (should?) be depressed, the more depressed I get.

On the same note, I was feeling fine for much of the day and then thinking about a situation in my life and the possible outcomes has begun to create a depressive feeling that the thoughts are reinforcing. I do agree that, in the end, its how we respond to both that matters. Maybe they are so intertwined that either could be a trigger for the other, but its our conscious selves who must deal with the end result. Meds and CBT seem to work really well together for some when each alone has failed in the past, so it seems that regardless of which comes first, addressing both is the answer for actually dealing with them.