I have at times, and it does seem like I do it more when depressed. But, like other habits you can learn to control it. I had to learn to let go of something that I know I would otherwise think about for days. I think it's normal to review the events of the day, and maybe wonder if you offended someone or did something stupid. Then you remind yourself it's in the past, and can't be undone. Learn to let the unimportant stuff go. It is hard to change your thinking habits, but it can be done.

If you are truly troubled about something it might help to talk to someone about it, a close friend, parent, teacher, etc.