My theory is that with normal emotions, we have to process them. When a neurotypical person is sad, they are more likely to be attracted to sad music than to happy/energetic music. They are more likely to want to stay home and have some downtime than go out to a party. Etc. They have to process the emotion.

However with mood disorders, the brain just keeps generating the emotion and physiological effects, regardless of outside circumstance or stimulation. So I think what happens is that we instinctively try to process it, but we can't. So we could end up sitting at home and listening to sad songs for two months.

This doesn't mean that we keep ourselves in depression, though. It means that we struggle to get out of it via processing, but can't.