CBT seeks to challenge, change or modify our thought processes in order to change our feelings and our behaviour. It is often about creating virtuous circles and breaking vicious ones.
This can be a particularly effective treatment for depression because, as we know, depression can lead us into false patterns of negative thinking and trap us in viscious circles.
To give you an example - a person with depression may have lots of negative thoughts about their workplace and, in particular, about times when they think they have failed to perform. These bad thoughts may be impacting on their self-esteem which, in turn, may be making them feel more negative about work and leading to them to become even more ineffective. A CBT therapist might help the person to focus on times when they have been effective at work e.g. times when they have succeeded or where they have received positive feedback from clients or managers. This might then boost the person's self-esteem - so that the next time the person is in the workplace they feel more positive about their work and can be more effective. This in turn promotes more feelings of well being which boosts their self-esteem. In this way the viscious circle is transformed into a virtuous circle.
This is just a simple example - but hopefully demonstrates how CBT can change thoughts, feelings and behaviour. CBT can, sometimes, be available on the NHS.