It's not thinking that makes you depressed, it's
how you think and
what you think.
Certain people have a tendency to drift into dark thoughts given too much inactivity. Thoughts about their insignificance and powerlessness. I've been one of those people.
I suspect that most people are naturally pessimistic. Negative thoughts*time to think=negative mindset. However, with a little prompting, a little bit of refocusing of priorities, you can change that. Optimism makes you happier. And you can still be an optimist and a realist at the same time, by devaluing the personal importance of negative things you can't change, and working on what you can change.
My personal approach is actually a mixture of my natural pessimism and my acquired optimism. I pessimistically think of the worst situation possible, then I optimistically think "Well, whatever happens is probably going to be better than that!"
It's fun times
What's the worst case scenario in trying it? Your negative imagination is a turrible thing to behold? Well then laugh at the bizarre creations of your mind, point out how absurd it would be, and move on.
Personal case in point: Taking a test.
"What's the worst case scenario? I get hit by a bus on the way to class, fall on a dirty soup spoon and get infected with HIV. HAhahaha, well at least I'll have a good excuse to get out of the test! Realistically though, I get a bad grade, and end up with a bad grade in the class, forcing me to take summer school. I've taken summer school, it isn't so bad. Now I know I can deal with reality."
I have no clue whether this sort of approach would work for most people, but it's an amusing way for me to make my pessimistic way through life with a non-wry smile.