In the cogntive behavioural therapy (CBT) model of depression, one of the reasons that breaking out of depression can be so difficult is that depression generates vicious cycles involving a number of aspects of your life. Once you get stuck in these vicious cycles, they can be hard to break.
According to cognitive behavioural therapy (CBT), when you’re experiencing depression, you will tend to have automatic negative thoughts about yourself, the world and the future. This pattern of negative thinking you deeper into depression. This brings about further negative thoughts; which lead you to feel even more depressed; bringing about more negative thoughts; and so on.
Other vicious cycles that arise from depression involve feelings, behaviours, memories and physical symptoms. These vicious cycles are depicted below (click on the image to view a larger version):