From an article on the Yoga International web site:
Anyone who has suffered from depression understands how deep, abiding sadness or worthlessness can infiltrate and affect every aspect of our being. Our psychological makeup, physical health, mental outlook, and even our ability to interact with friends and family and be present to the world around us can get shaken to their core. Why? Because we identify with and attach ourselves to things that will inevitably change. As our feelings and other symptoms of depression persist, we have an increasingly difficult time imagining a life in which we break free from their spell and avoid “becoming” them.
Yoga teaches us that we aren’t our feelings or our symptoms but live in multidimensional relationship with them.

One way to grasp this paradox is to picture the Self (purusha or pure, undifferentiated awareness) as pervading all nine interlocking and interdependent spheres of influence without being any one of them. See More here.
https://yogainternational.com/article/view/yoga-for-depression-an-integrated-practice