I think you're on to something really important here.
Some people (normal people if you will) just don't think too much about things. Even when they sometimes go on to make terrible choices for themselves, and others, they might regret it, they might have negative thoughts about it, but they don't become depressed. They are not inclined to ruminating hours on end about their mistakes, so the negative thoughts dissipate over time, they effectively move on.
But if your personality, or brain, or whatever, is made in such a way that you like to think a lot about what could have been, or could be, or how to behave, or what others think of you, any kind of negative thought you might have will stay around, eventually leading to (symptoms of) depression.
So I think you're right when you say that depression is not what's wrong with you. You might just be one of those people that are good at thinking. Perhaps sometimes a little too good at thinking, a little too sensitive. Being sensitive and good at thinking is not be a bad thing at all, but spending too much time having negative thoughts may be what leads to depression.
If this is the case, realizing that you have a choice, in what to think about, is an important step on improving the quality of life, perhaps even learning to life with, or overcome some of the symptoms of anxiety and depression. Accept the negative thoughts, they are just natural thoughts after all, but choose not to dwell on them, let them pass and move on to the next thought, it might be a positive one.
A realization that came to me much later in life was that, although I am in apparently full control of which thoughts I allow to persist in my mind, I do not appear to be in full control of when memories surface. Rather, very similar to my dreaming state, it seems as though there is some process which is constantly comparing my waking events to things that occurred in my past, and trying to form a connection between them.
For the most part this is good, but of course, not all memories are created equal. Sometimes this process of forming connections reminds me of a painful event, something I'd rather not think about.
At first it was frustrating when these memories surfaced repeatedly. I'd dwell on some embarassing thing I'd done, or some painful thing a friend had said to me, which they maybe didn't realize I'd taken so hard. It was tempting to analyze these events to death, and have silent conversations with these figments, as though I could go back and phrase it differently, or change my actions, and perhaps it would have gone better.
Eventually, however, I realized that these mental tasks were not productive. The event, the "danger" had already passed. So now, whenever I realize my mind is about to go down that path, when suddenly I am reminded of a painful event, we pause, my brain and I. "Do we really need to go down this road again? We know where it leads. Let's not."
And so we don't. We reach once again into the stream of thought, allow ourselves to dwell on some happier moment, and in time, that old memory fades and we're off on a different adventure.
This comment assumes people can choose what they think about when most of the time there doesn't seem to be an off-switch to a certain topic or emotion. I've found that it's easier to re-apply one's thought process on something mentally demanding and important (so the mind will find it urgent enough to drop whatever it is currently thinking about) than to direct one's mind to stop thinking about a particular topic. With that being said, I know that I'm also trivializing the difficulty finding a replacement topic that sufficiently demanding and important.
Some people (normal people if you will) just don't think too much about things. Even when they sometimes go on to make terrible choices for themselves, and others, they might regret it, they might have negative thoughts about it, but they don't become depressed. They are not inclined to ruminating hours on end about their mistakes, so the negative thoughts dissipate over time, they effectively move on.
But if your personality, or brain, or whatever, is made in such a way that you like to think a lot about what could have been, or could be, or how to behave, or what others think of you, any kind of negative thought you might have will stay around, eventually leading to (symptoms of) depression.
So I think you're right when you say that depression is not what's wrong with you. You might just be one of those people that are good at thinking. Perhaps sometimes a little too good at thinking, a little too sensitive. Being sensitive and good at thinking is not be a bad thing at all, but spending too much time having negative thoughts may be what leads to depression.
If this is the case, realizing that you have a choice, in what to think about, is an important step on improving the quality of life, perhaps even learning to life with, or overcome some of the symptoms of anxiety and depression. Accept the negative thoughts, they are just natural thoughts after all, but choose not to dwell on them, let them pass and move on to the next thought, it might be a positive one.
You may also find some inspiration in metacognitive therapy (https://en.wikipedia.org/wiki/Metacognitive_therapy).