The brain looks for something to "hang" your feelings on. They did studies about this in the 60s, before it was deemed unethical, with college student volunteers. They'd close them in a room with ONE item -- a Coke can, a chair, a writing pad -- and then flood their system with anxiety inducing hormones (adrenaline and cortisol). In every single case, the test person became convinced that that ONE object was out to kill them and they needed to get away from it.
I love that story because it sort of puts my anxiety in perspective. If you're being chased by a saber tooth tiger, it makes perfect sense to be anxious (and to run like hell, or something). But most of the time, my anxiety is not caused by anything dangerous -- my mind just finds something to attach the feelings to.
Ooooh! Depression works the same way. Your brain hangs your physiological feelings on one reason -- had a bad mother, traumatic experience, nobody loves me -- and will do so whether or not it's rational or makes sense. Cognitive behavioral counseling can help put this into perspective after the traumas are behind us and the anxiety lives on.