Even I had a similar doubt and I have done some researching for you to understand! 

Well not every ‘sadness’ is depression. Let’s talk about clinical depression.. Where in the brain is depression? 

The question sounds quite simple but the answer has bothered scientists for centuries. 

With recent advancements in brain imaging techniques, it has been understood that the real reason as why I am feeling depressed is because of some abnormalities in different circuits of the brain. The focus has recently shifted from regional brain abnormalities to circuit level connectivity problems. 
The core part of the brain is called cortex and the cortical brain areas implicated in depression include are dorsal and medial prefrontal cortex, the dorsal and ventral anterior cingulate cortex, the orbito frontal cortex and Insula. A decreased metabolism in these areas is a frequently replicated finding in research studies.

The cortical mood regulating areas are lateral and medial orbitofrontal cortex and medial prefrontal cortex also has aberrant connections. 
The primary neurochemical abnormalities attributed in the neurochemistry of depression are neurotransmitters like serotonin, norepinephrine, dopamine etc.  With depression the levels of these chemicals gets low and hence you feel very sad and worried. The Antidepressants work by increasing the chemicals to optimum levels so that you feel good again. It’s simple as replenishing a hormone your brain needs at that time! 
THE BOTTOMLINE IS THERE’S SO MUCH HAPPENING IN THE BRAIN WHEN WE
HAVE DEPRESSIVE SYMPTOMS AND ITS NOT FAIR TO SAY EVERYTHING IS IN
THE “MIND”

As we had discussed, antidepressants provides us brain chemicals
which the brain needs.. So what’s the fuss about? 
If you have low thyroid in your body and if your doctor prescribes you
medications for increasing thyroid levels, won’t you take it??? 
There’s some serious misunderstanding about antidepressants 

I am against taking Psychiatric medications for depression. Why do we need drugs for stress ? It’s all sedatives which will affect my brain and nervous system.
Badge –  I very much respect your viewpoints but we need to talk about how depression occurs to people! 

Person-  Yeah i know depression occurs when we face stressful life events right? 
B – Not that alone, may be u got to prime urself about the Biopsychosocial
model of Psychiatric illness  Simply put, Depression can also happen due to certain; Biological; reasons and
not necessarily social reasons alone. Sometimes, in certain brain circuits if reuptake of certain neurochemicals like
serotonin, norepinephrine reduces beyond a particular point, then we might
experience depressive symptoms.

P- Is that so? U claim to say that this is a ‘chemical’ problem? How can my mind
related issues have a chemical problem?
B- I understand that we have not been primed about the causation of
Psychiatric illnesses as much as we are aware of other body related illnesses
like Diabetes mellitus, hypertension. 
When are chemical fluctuations in the body, it shows up as physical
complaints. For E.G, If there is deficiency in production of thyroid levels in the
body, they might experience a clinical condition called hypothyroidism and
they would need thyroid medications to boost the levels up! 
If we can accept a ‘chemical’ causation for bodily disorders then why can’t we
accept the same for brain related problems ? 
 

P- Can’t I just overcome this by just being ‘mentally strong’ ?
B – Well, that’s an important aspect of facing psychological problems but at
times we might need extra help. And anyone and everyone facing
psychological problems are mentally ‘strong’ only, the very fact they continue
to face these problems only signifies their mental strength.

I very much respect your viewpoints but we need to talk about how depression occurs to people!
Attimes, depression can happen even if we dont face any major stressful situation
And may be we need to prime ourselves about the Biopsychosocial model of Psychiatric illness
Simply put, Depression can also happen due to certain ‘ Biological’ reasons and not necessarily social reasons alone.
Sometimes, in certain brain circuits if reuptake of certain neurochemicals like serotonin, norepinephrine reduces beyond a particular point, then we might experience depressive symptoms.

I understand that we have not been primed about the causation of Psychiatric illnesses as much as we are aware of other body related illnesses like Diabetes mellitus, hypertension.

When are chemical fluctuations in the body, it shows up as physical complaints. For E.G, If there is deficiency in production of thyroid levels in the body, they might experience a clinical condition called hypothyroidism and they would need thyroid medications to boost the levels up!

If we can accept a ‘chemical’ causation for bodily disorders then why can’t we accept the same for brain related problems ?

 Well, that’s an important aspect of facing psychological problems but at times we might need extra help. And anyone and everyone facing psychological problems are mentally ‘strong’ only, the very fact they continue to face these problems only signifies their mental strength.

Sometimes the person themselves are the best judge about the struggles they are facing. Unfortunately our awareness about mental health issues are poor and hence its better to seek a doctor.

Psychological symptoms are not always very evident and it can be very simple as reduction in concentration, feeling irritated, poor sleep all which we might feel is normal but troublesome for the people experiencing it.

 U can raise the same concern with the doctor, after him talking with her can give you a clearer picture.

Although certain amount of worrying is normal, sometimes it can feel our worry can become unmanageable.  

Try ‘containing’ worry.

Containing Worry is about allowing yourself to worry as much as you like, but only at a specific time of the day that you will choose yourself.

By following these simple steps you will be more in control of your worry

1. There are 2 types of worries

• Hypothetical worries
• Practical worries

Hypothetical worries ?

These are the type of worries where the outcomes are ‘uncertain’, where we might imagine/hypothesize ourselves to be in grave situations and worry.

These worries can usually start with ‘What if… ‘ statements

E.g : ‘What if i lose my job ?’

‘What if I fail?’

‘What if I don’t repay the loan?’

Practical worries ?

On the other hand, some of the things we might find ourselves worrying about are the types of things we could deal with in the ‘here and now’, about current existing problems. These are the types of things we should try to deal with there and then instead of just ruminating about it.