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Depression is associated with a range of cognitive deficits. It is thought that the gradual reduction in cognitive performance brought about by poor life style, environmental stress etc leads to a growing poverty of experience and the establishment of poor coping strategies (eg withdrawal) sets up negative cycles which draw some people ever deeper into the clinical condition.
The condition itself then leads to a further decrease in cognitive performance which leads people to regard themselves as depressed. Cycles of 'being depressed about being depressed' etc start to be maintained with marked negative feeling, hopelessness and helplessness and other psychological hallmarks of the condition.
It is probably best to view depression as an evolving psychological process rather than trying to decide whether negative thoughts lead to depression (which they probably do) or whether depression causes negative thoughts (which it does). Rather it is a dynamic process with multiple feedback loops (often negative) operating, both within the categories of thoughts, feelings and behaviour, and between them.
If we look at the broad psychological processes they can all be affected by clinical levels of depression
Perception in depression
Learning in depression
Memory in depression
Thinking in depression
Attention in depression
Motivation in depression
Emotion in depression
Motor processes in depression
Sleep in depression
Sex in depression
Consciousness in depression
Eating in depression