The top layer of the brain is the cortex—the area involved in abstract thinking, cognition, philosophical thought and memory functions. This portion is extremely large and well developed in primates as compared to other animals.
Just below the cortex is the limbic system. This area is associated with emotions and response to stress. At an incredibly simplistic level, we can think of depression as a condition where the cortex thinks of some sad thoughts and convinces the rest of the brain that it is real.
It is as if in depressives, the cortex continuously whispers sad thoughts to the rest of the brain. The veracity of this model of depression is proved by a very crude surgical technique. Cut off the connections between the cortex and rest of the brain and the depression should go away. This crude technique actually works and it is called a cingulotomy. Obviously, this treatment is rarely, if ever, practiced.