Also, if you ask a depressed person why they are depressed, they may not know exactly why they are depressed. I spent my entire high school years depressed. It wasn't until a few years after I graduated college before I realized the reason why I was depressed: it was because I had abusive parents. If you had asked me in high school why I'm depressed I would have said something like "I'm a bad person but I have no reason why". At the time I thought my parents treated me like I was a bad person was secondary to the actual problem.
If you really want insight on what makes the human mind depressed, then ask people who have overcame their depression. The first step to overcoming depression is to discover what is making you depressed. If someone is still depressed, they probably don't know what is making them depressed, and so their "data" is just noise.
The problem with the psychology field is that it has an obsession with "data". Everything has to be on a pie chart of a line graph or something like that. Every "study" has to be on a grand scale and then averaged together to make a single conclusion.
The problem is that the human mind of not replicatable. You can perform a "study" on a sample of people and get a result, and then replicate that exact same study on the exact same sample of people at a later time, and still get a different result. In order for the scientific method to be applicable, you have to be able to get the exact same result each time you replicate the study. This is not possible in psychology.