Yeah - but it depends on your point of view. Was there the egg before the chicken? Does the thinking about thinking result in depression?
I guess there are huge overlays, as always in neuroscience ... one can lead to the other, and sometimes one therapy method can be exchanged for the other, but other times not and then it's important to identify the underlying cause, if it's neurological or psychical. Sometimes both may apply - this is why antidepressant therapy is so much more effective when combined with psychotherapy, reflection & changes in lifestyle.
But I dislike it to call this placebo. It's a different beast somewhat.
I believe that there is the possibility of neurological and/or metabolic disorders leading to such invasive unstoppable trains of thought - over excitation. This may and will not apply to everyone of course, but I am convinced that there are some individuals where it's more of a neurological thing. (The other question being, can a purely mentally thing become self-sustaining & manifest itself as a neurochemical disorder... maybe? And then we are there again where it comes to genetics, environmental factors etc. and why people 1 does get the illness whilst people 2 behaves differently under the exactly same situation.)
Psychopharmacological treatments (unless it comes to serious neurological disorders like Parkinson's etc) are always some sort of a crutch.