With actual depression, it is very literally not up to you what thoughts are in your head. Think positive is the WORST, most annoying advice for someone who is depressed.
Sure there's people who actually have brain chemistry imbalance, there's a hell lot of people who are diagnosed with depression and treated with drugs when all they actually need is proper support and counseling.
It is annoying because it's the truth. I've been there. There's no helping someone who isn't trying to help himself, even if they're complaining about their issues one way or the other. Imparted wisdom is just useless knowledge unless applied, experienced, and taken to heart.
I don't mean just think positively, I mean surround yourself and revel in anything positive. However small and insignificant it can be, it's all useful.
With actual depression, sometimes you cant revel in anything. Nothing feels positive or good, even things that used to make you happy. That is not an actual solution for real depression. ---
`Twas brillig, and the slithy toves did gyre and gimble in the wabe; All mimsy were the borogoves, and the mome raths outgrabe.