I’m no expert, so can only recount my own personal experiences (whether they’re classed as depression or not). What I have found is that it can have a physical response, and isn’t just about thoughts or feeling low.
I find I can’t focus on things properly and try to do too many things at once which ultimately means I can’t relax. At the same time, I can also suffer from terrible lethargy. In some ways, this almost sounds like some form of ADHD, and I’ve often wondered whether I have something like that although I’ve never been diagnosed or anything.
Interestingly for me, I suffered a bout of bullying when I was about 10 and used cross dressing as a way of retreating from the outside world. It wasn’t the cause of how I started, but it certainly acted as a kind of comfort blanket when I was younger. To this day, if I have some time alone, I will use my cross dressing as a kind of relief if I am feeling down (although, of course, this isn’t the only reason why I do it).