It’s hard for me to catch a thought when I’m depressed. I’m so identified with them that they don’t even seem like thoughts, more like “lived realities”. But if I can notice a thought I’m having (like “it’s too hard”, or “no-one cares anyway”) then I can do something with it, like processing it with NVC, or questioning it with Bryon Katie’s Four Questions, or this exercise by Bob Mandell.