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).