I think they can both be equally frustrating, like DayAtATime1 stated. My T has always told me that there doesn't have to be a reason to be depressed, sometimes, you just are; and I was able to find some comfort in that after a while. Whether it's genetics or trauma or whatever else it may be. I focused a long time on why I was depressed because I thought if I knew why, I could fix it (I'm sure there are many who feel the same).
For me, trying to change has been by far the most frustrating. I've tried small things to try and change, and nothing has really happened so far. My T thinks it just because I haven't given myself enough time to let these processes work. Right now, It's just a struggle at this point because I have no one to blame but myself for the state I'm in.