I recently had the pleasure of reviewing Little Voice Mastery, and it was a very different read than most of my business book reviews. Although author Blair Singer is focused on helping people improve the bottom line, hit sales goals, and the like, this book has some real meat in it for the depressed person.
For example: on page 126, in the middle of a series of very specific techniques Singer suggests for quelling the nagging, doubting voices that echo in all of our heads, he offers a technique for shiftly one's mood quickly. It's a role play, and it will almost make anyone feeling depressed additionally feel stupid, but that's the little voice of the depression talking, so pay attention to me, not it.
In essence, the technique is one of having a dialogue with oneself, just asking questions about mood until one gets an answer. It's surprising how easy it is to get the subconscious to own up to how it feels if you just ask it a direct question or two. After you've identified your real mood (and we all know that sometimes the anger or sadness is masking something else), the exercise helps you pick another mood and try it out.
Emotions do really follow our direction. If you feel powerless to change, it's not because you're not capable - it's because that damned depression has convinced that you're impotent. Instead of dwelling on it, try a role play out. Just walk through the steps and follow the instructions carefully, so you have no choice but to succeed. You may be surprised that it was easier than you expected.