My previous psychiatrist used to say, "I can make anyone depressed. Take away food, don't let them sleep, and isolate them from their family and friends. Then watch what happens."

Basically he was saying that the things we do (or that happen to us) when depressed are the exact things that would cause depression in the first place, and it becomes a vicious cycle. The only way out is to break those things and stop them from happening. This can be aided by medications, but it's also a set of behavioral problems that need to be addressed one way or another.

Best of luck to you as you break the cycle.