Depression is closely related to anxiety - it's like two sides of the same coin. Many people with anxiety experience depressive symptoms, too. Although a great oversimplification, unresolved stress can lead to anxiety; unresolved anxiety can lead to depression.
There are many of us who have learned to hide their depression well. Lots of high functioning people are, under the surface, depressed. There is a tendency among depressives to have a lot of negative self talk: "It was just luck that it worked out all right." "I'm not a good person." "I'll never feel better - I'll be stuck my whole life feeling this way."
Those around a depressed person frequently don't understand. They wonder why someone is feeling depressed, and can't imagine why the depressed individual doesn't just "snap out of it."
Sometimes depressed people suffer from the over-absorption of certain brain chemicals - serotonin, dopamine, and norepinephrine in particular. Training the brain to keep cells bathed in these chemicals is what anti-anxiety and anti-depression medications do. The misconception that someone can just "snap out of it" is like asking a diabetic to control their blood sugar without medication.
There are times when depression is the result of upsetting events, like death, divorce, or trauma. Our self-talk over traumas like these can cause unhealthy neural pathways between the amygdala (the part of the brain in which most emotions originate) and the prefrontal cortex (where most complex cognitive functions occur)to form.
Because of this, another common misconception is that we can't do anything about depression without medication. Medication is a valuable tool in managing anxiety and depression, but without dealing with the thought processes behind them, the medication can only do so much.