Found a nice article by Steve Pavlina on the cause behind depression. Here is some part quoted from: http://www.stevepavlina.com/blog/2006/06/overcoming-depression/
“Let me be very direct. It isn’t your situation that’s causing you to feel depressed. What depresses you is the attention you give to that situation. Your life may indeed be filled with circumstances you don’t want, but that isn’t the real source of your depression. Negative circumstances can only induce depression when you focus your attention on them. If you withhold your attention, your circumstances are powerless to affect you, regardless of how bad they seem.
Consider a simple example. Suppose you’re deep in debt with no end in sight, and you hate being in debt. The debt is only depressing when you think about it. If you think about something else that makes you happy, something good about your life, then at least temporarily, you won’t be depressed. So it’s not the existence of the debt that depresses you. It’s only your noticing the debt and not wanting it that depresses you.
Another example: Suppose you’re feeling lonely. You notice you don’t have an intimate relationship, and that makes you feel lonely. But is it the absence of the relationship that makes you feel lonely? Or do you only feel lonely when you pay attention to the fact that you don’t have the relationship you desire? When you’re engrossed in a really good movie or a compelling book, you completely forget that you’re lonely, don’t you? But if you stick your head up and notice you’re all alone, or if you notice a happy couple and contrast it with your own situation, then your loneliness quickly returns.
I know this sounds overly simplistic and perhaps even useless, but just humor me for a moment. I think you can agree that you only feel depressed while you pay attention to negative circumstances, such as your lack of money, lack of a relationship, or lack of good health. But here’s the key point: Your circumstances are NOT the true source of your depression. The true source of your depression is your attention… specifically your habit of putting your attention on what you don’t want. In the case of chronic depression, it’s likely that what you don’t want is what you’re already experiencing right now. So the simple act of noticing what you’re already getting is what’s really making you depressed.”