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At the same time, there's only so much to improve your external situation, especially if you are dealing with hard facts sort of situations (e.g. chronic health problems or terminal illness, poverty). If your source of depression is something external you can do something to improve, your therapist will definitely recommend you moving away from whatever that is (e.g. a toxic work environment or an abusive partner). The reason why we encourage cbt is that it gives you some tools in the mean time, as sometimes the external factors driving your depression are going to be difficult or impossible to change.