It has something to do with genetics - certain people are pre-disposed to suffering from depression whilst others are not. Like you said, Legend, some people would be able to move on with their lives whereas others would not. My dad, for instance, displays classic symptoms of cyclothymia (although he'd never admit it) so I can have a pretty safe guess where I've got it from.

If you look at it from a physiological perspective, the genetics argument would appear to make sense. DNA/mRNA is directly responsible for producing proteins that either create serotonin or are responsible for its detection and uptake - having a faulty gene for one of the serotonin receptors would result in a faulty receptor and thus decreased sensitivity to serotonin. Having a faulty gene for the production of whatever enzyme it is that makes serotonin from serotonin-phosphate (5-HT from 5-HTP) would certainly have an effect. Since DNA is inherited from parents, this argument would appear to be valid, and it is backed up by good evidence.

There are other factors though - stress has been correctly pointed out as one. Stress is a vicious circle - depression leads to stress leads to depression. Chicken and egg. I'd have to root around some papers to see the proposed mechanism, but we touched on in it in a couple of lectures.