The thing about the neurological causes of depression, such as imbalances of chemicals and hormones in the brain, is that though they can be controlled through medication, they don't address any other contributing factors. Medication won't bring back a family member who has passed away, or the love of a former partner.
At the same time, counselling or dealing with issues such as these won't restore chemical balance to the brain.
Which is why treatment entails both counseling and medication (SSRIs, TCAs etc). The medication used requires modification though. (There's a difference between reactive depression and endogenous depression, mind you.)
But, the theories and possible causes proposed for clinical depression are fairly complex, and quite simply, we don't know the answer yet. I know most people do not understand the nature of the illness.
I must emphasis that there is a difference between
Clinical Depression (however there are various types of clinical depression - refer below**) and Depressed Mood. And in some patients, there is no stimulus which acts as a candidate for depression that is identified (endogenous depression). I have read so much research on this, that I am convinced there is some sort of biological basis for types of Clinical Depression, although psychological factors contribute, too. I am trying to dispel this notion that patients with depression can necessarily control their thoughts. This is the way I see it; just like I couldn't control the production of my cancer, they can't control the development of their depression. I've heard the most disgusting comments from people about depression. It's not as simple as "THINK POSITIVE!!!!1111" But I believe most mental illnesses have physiological causes. (Poorly articulated, sorry)
Depression first, then self-esteem. Though of course low self-esteem is both a cause and a symptom of depression.
That was a rhetorical question. No one truly knows the answer to that, unfortunately. Although if you have some research references to this, please link. I'd love to read them, I am quite fascinated by this topic

***There are different types of clinical depression. This includes reactive depression, where someone gets severely depressed due to their circumstances, such as a death of a family member. Then there is endogenous depression, where someone is constantly depressed without any obvious trigger. Then there's chronic depression, post natal depression and bipolar disorder. I believe the last 4 have a biological basis.