Depression is not caused by people being self-absorbed. That is a result. Depression can cause people to become hyper focused on their problems and those problems can take over their lives.
If you have lived with or known someone who is depressed, it might however seem the way that white_chocolate described. When my friend was depressed, people told her to snap out of it. This was not possible. It's like telling someone with a physical disease to snap out of it. She did get therapy and medication and is living a fulfilling life.
This is why someone suffering from depression needs to go to a qualified doctor or therapist for help. As well meaning as everyone is here including white_chocolate, they are not always accurate.