"You cannot prevent the birds of sorrow from flying over your head, but you can prevent them from building nests in your hair."
I love this Chinese proverb, particularly as someone who has suffered from depression, since childhood, and learned to overcome it.
Depression, for many, usually starts off with a thought or a feeling. And, although we have no control over those negative thoughts or feelings that randomly pop into our heads and hearts, we do have control over how long we indulge them. The longer we allow them to sit and fester within, the harder it becomes to dig ourselves out of the dark hole we have climbed into. The sooner you dismiss any negativity in your life, the sooner you become whole again. It truly is a question of choice. When a negative thought enters my mind, I immediately dismiss it. I refuse to give it any credence, and promptly replace it with a positive thought.
As for feelings of sorrow or depression, as soon as I start to feel that certain 'heaviness of heart', I acknowledge it, realize it is just an illusion and release it. The best thing to do is get on the mental plane, by doing something that involves some kind of mental activity. Or go out and be with people, watch a comedy, or read some kind of spiritual book. Sitting at home brooding will just worsen the situation.
The choice is ours. We just have to want to make that choice.