1. Biological. He says "Yes, biology matters, but surprisingly not as much as you would think, that when we look at what’s termed genetic variance, how much do genes play a role in depression? Is there a depression gene? No. Are there genes that make people vulnerable to depression? Definitely. So if we look at biochemistry, yes it’s a factor. If we look at disease processes, there are many diseases where depression is a predictable consequence. If we look at drugs, there are many drugs that have depression as a predictable side effect. Biology matters, but when we look at genetic variance, that figure is between .3 and .4. That represents a mild, moderate at best, genetic influence."
2. Psychological. In particular what is known as "Attributional/Explanatory style" (https://en.wikipedia.org/wiki/Explanatory_style), i.e. the person's habitual or reflexive way of attaching meaning to life events. He says "It isn't what happens to people that increases their risk for depression so much as how they interpret and respond to what happens to them."
3. Social
At the end, he says "the goal is not to cure depression, the goal is to learn how to manage your mood. You don't exercise once and now you're done with the exercise thing."