Yes, depression effects the brain.
I saw a picture of a brain scan of a normal brain and a person with depression. The depressed brain was clearly less active than the normal person's brain.
I remember one time when I started running out of mental energy at work and then it seemed like half my brain went off-line. I started thinking really slowly. It freaked me out. Then, my brain started insulting me left and right. There are other times that I have noticed that my focus/concentration was badly effected by my emotional state.
As the previous posting said, this can be improved on. Drugs or therapy can make visible changes in the brain scan. The person's brain with depression on an anti-depressant is more active looking. After therapy, it looks much closer to the normal brain. I have found that AD's help me sleep better, improve my energy level and help my focus. I was surprised at how much I was reading after starting AD's. I have always loved to read but I had not been reading as much. I have not even realized that I had begun to read less often.