Marilynne Robinson said "depression may be the inability to sustain narrative." This is a fancy way of saying that when we are in the depths of depression it is hard to remember that we are in the middle of an ever-changing story. We view that how we are is permanent.
Depression says at least one of these three things: "I suck, the world sucks, and nothing is going to change." This flies in the face of the facts of the world though. The only thing constant is change. And the world or ourselves cannot be simplified to just 'sucking'.
If there is one thing common in all times of depression I have seen or experienced, it is this feeling of certainty. Depression is famous for black and white thinking. We might believe that things are wonderful for others and terrible for ourselves, with no room for either to be only partially true.
It is so important then to catch ourselves in these moments. If we have thoughts that sound so certain and definitive, we need to apply the hand brake. We have to recognize that we are thinking more in our emotional mind and not our rational mind. And then we can question whether any conclusions we have drawn about ourselves or the world are really 100% true.
(Read more about applying the brake to our thoughts here)
(And a trick on how to think differently here)