I picture it more a a mist or net that settles over your brain in general then the negative thoughts happen, not all of them conscious thoughts. Of course you can cause yourself to become depressed by thinking about something depressing, but I don't believe this causes long term depression unless you let it take over your thinking. Depression can be caused by many things. Anyone who says they have the answers is probably trying to sell snake oil. I believe I have had several "varieties" of depression in my lifetime. Some are disabling, some not. But all came on against my will.

I hope you find relief soon.