The key I found to coping with my depression is to overhear depressive thoughts as depressive and not just another thought. I use an analogy to help me visualise this: -
I am on stage reading the script my depression has written for me and sometimes I get lost in the role, reacting immediately to what the script demands of me. However, I am also in the audience watching the performance, free to critically appraise the thoughts and actions that are occurring.
Recognising you are performing the depressive role (“O, that’s a negative thought”) opens up the possibility of separating yourself from the depression and seeing a more rounded and balanced point of view. My depression can be very claustrophobic so gaining distance from the negativity is beneficial for me.