We were just getting ready to write a post about brain imaging findings that help to explain what happens in depression when we got the latest copy of the American Journal of Psychiatry and found an elegant meta-analysis (review of many other studies) that does much of the work for us. If you want to read the article you will need this information – Am J Psychiatry 2012;169:693-703.
Basically the authors took all the data from many studies on brain functioning in depression and integrated them into a model that explained what happens in your brain when you are depressed.
The difference between depression and non-depression involves how your brain responds to negative stimuli (sad images or thoughts). Basically a part of your brain called the pulvinar nucleus of the thalamus (the thalamus 
is the part of your brain that focuses attention on information coming in from various sources) selectively activates the amygdala (the threat response system) when negative information comes in.
In other words, when you are depressed your brain responds to negative or sad information by activating the “threat” response.
At the same time, the part of your brain that provides context (“let’s look at the whole picture here”) for negative information (a series of pathways that end in the dorsolateral prefrontal cortex (DLPFC)) is inactivated.
Depression involves excessive activation of the “threat” network in response to negative or sad news and under-activation of the part of the brain that can help to put bad news into a larger context.
Interestingly, at least two treatments for depression involve activation of that larger context network (rapid Transcranial Magnetic Stimulation and mindfulness meditation).
If I am depressed and I see a video about baby seals dying my brain activates selectively the threat network (“this is important and potentially catastrophic”) and does not activate the part of the brain that puts things into context (“sad but then lots of sad things happen”).
The result is that the person who is not depressed is able to move on to other thoughts, and planning for the future, while the depressed person is stuck with red flashing warning lights going off.