Hmm. Not interested in getting into a debate about whether depression is an illness or whatever, so I'll just say "OK".
The clearest example I can imagine is, take someone who is down on their luck, unemployed, in debt, medical problems etc. and fly them to the best doctors in the world, then give them a great new job with a million dollar signing bonus - I think they'll typically be pretty happy. Do this to a depressed person and they'll probably try and kill themselves because they consider themselves unworthy.
Anecdotally, I had a breakthrough with mood control when I eradicated "jumping to conclusions" from my idle thought patterns. That made a HUGE difference in my outlook on life.