Depression changes people's feelings. It might also change their thoughts, or more specifically, it may make them pay more attention to these thoughts. Psychologists have noticed that a particular word game, a game that evokes the Stroop Effect, seems to have a peculiar impact on people with depression.
The Stroop Effect is quite a well-known psychology phenomenon. Print a page of words, all in different-colored inks. The words themselves are color words — red, blue, green, yellow, etc. The key is, the color of the ink doesn't match the word. For example, the word "red" might be printed in green ink, the word "yellow" might be printed in blue. Ask people to pick out all the words written in blue ink, and they think they've got an easy job. It is easy if the words were neutral things like "clock" or "radio." People do it quickly. If the people see the word "red" spelled out in blue ink, or the word "blue" in yellow ink, they hesitate. They take in the two colors at once, and it takes them a moment of attention to sort out which information to pay attention to.
There's a variant of the Stroop Effect known as the Emotional Stroop Effect. People are given the same task, picking out words in a certain color of ink, but instead of colors, they are given words that might have an emotional resonance with them. Some words in the mix will be neutral, like "table" or "sand," while others are emotionally difficult. A depressed person will slow down when they see words like "failure" or "pathetic," while a person who doesn't have depression will have no more reaction to these words than they would neutral words.
The effect doesn't just work with depressed people. Any group with a phobia or anxiety disorder will slow down as they get to the words that preoccupy them. People who are anxious about sickness will slow down when they see "cancer" or "blood," and people who are anxious about violence will slow down when they see "burglar" or "knife." As with the regular Stroop Effect, the person suddenly feels it's necessary to pay attention, and evaluate what could be a bad situation. The words themselves trigger a diversion in the thought process. Given particular stimuli, people who are depressed, or anxious, feel emotions that other people don't, and can't help but dwell on certain thoughts.
It's not possible to say if the diversion of attention worsens the depression, or if the depression brings about the diversion of attention. Either way, it's clear that people who have something on their mind have to process things that other people never have to think about.