We are just another primate but a very confused, malleable one.

On an incredibly simplistic level, you can think of depression as occurring when your cortex thinks an abstract thought and manages to convince the rest of the brain that this is as real as a physical stressor.

Some Poor grad student pressing on the flanks of a hamster and out comes a doctorate on the other side

Pulling a gun's trigger can be an appalling act. But if it is suicidal drawing fire to save someone, it has an utterly different meaning. Placing your hand on someone's arm can be an act of deep compassion or the first step of betrayal. The punch line? It's all about context, and the biology of context is vastly more complicated than the biology of the behavior itself.

The less it is possible that something can be, the more it must be.

The frontal cortex is an incredibly interesting part of the brain - ours is proportionately bigger and/or more complex than in any other species.

Essentially, we humans live well enough and long enough, and are smart enough, to generate all sorts of stressful events purely in our heads.