The brain has (surface) grey matter and (deep) white matter. The front of the brain is called the frontal lobe, and the grey matter is called the frontal cortex. The sides of the brain are called the temporal cortices. The white matter includes the basal ganglia; it interconnects different parts of the brain cortex.
The system that is involved in the emotions is the limbic system, which includes frontal cortex, temporal cortex, basal ganglia, and brainstem.
In depression, the limbic system is overreactive to negative stimuli and under reactive to positive stimuli. Secondly, the frontal cortex is impaired and unable to properly suppress the limbic system. The net result is high sensitivity and reactivity to stress, emotional dysregulation, and a prolonged recovery. Sometimes recovery does not occur, and the dysfunction worsens until restoration of balance requires an intervention.
Cognitive therapy provides a new way of thinking: the frontal cortex can essentially improve its control over the limbic system. The subjective experience is something like “I feel…”(painful emotion) and the response is “I must think instead….” to change the feeling to a more positive (or less negative one). The new thinking occurs in the frontal cortex, which sends inhibitory signals to the limbic system.
Antidepressants (as this article explains) work “bottom-up” to correct limbic system reactivity to negative and positive stimuli, and return it to a healthy state. Furthermore, frontal and temporal cortex dysfunction is restored; the brain is thus corrected in a “top-down” direction; the limbic reactivity is better inhibited by the frontal cortex. Notably, there is some debate whether the “top-down” mechanism is that robust, but the “bottom-up” approach seems well established.
In sum, the best approach, then, to treating depression is to start an antidepressant (SSRI, SNRI) and then add cognitive therapy. The two approaches are synergistic.