I spent awhile thinking about this, and had a couple ideas i want to throw out.
Depression _is_ all in people's heads (of course there's both a mind and a brain in there, but we'll get back to that later) and you _can_ make yourself happier just through internalized thought processes.
People also _can_ lift 500 pounds, so if you're depressed and someone asks you why you don't just decide to be happy, why not ask them why they don't just decide to lift 500 pounds?
There are Zen Buddhist monks who spend decades in monastaries seeking enlightenment, if people could just decide to "be happy," then why don't the monks just decide to "be enlightened"? "Be" is not a verb, it is a state of being, it is not something you do. "Decide" is a verb, you can "Decide to be happy" or "Decide to be enlightened" but deciding something does not actually make it happen. "Deciding to become happy" is a better way of saying it, but an even more apt word is the same one used for enlightenment, "Decide to seek happiness." You are trying to find happiness, you are going through a process, but just because you are trying does not mean that you will succeed, or that if you do succeed that it will happen quickly.
Seeking happiness appears deceptively simple. Unlike training to lift 500 pounds, there are no weights to lift, no physical work to do, nothing that would seem to require much exertion. It's all in your head, all you need to do is think, and given how many different schools of thought there are on the subject, there doesn't seem to be any way in particular that it needs to be done. Some schools even believe that you need to _not_ think, and that being too exhausted to think is a state you should strive for, so even if you're too busy to think about being happy you're going about it the right way according to someone.
Which is really where the problem lies. If you want to learn to lift weights there's a specific set of steps you need to take. Those steps take a lot of physical work, but they're clear and straightforward, and they work for everyone. Seeking happiness may not involve any physical work, but there is a total lack of direction on how to go about it. It's also not clear if every path to happiness can work for every person, not all Zen Buddhists achieve enlightenment after all. Did some of them just fail? Or was that just not the proper path to enlightenment for those individuals? The issue is made more complicated because even those methods that have concrete steps are not as clear cut as they appear.
Lifting weights makes you stronger because your muscles are doing work which causes them to grow, etc, etc. Why do some methods of thinking or acting seem to make people happy? They probably have some kind of explanation, ranging from the scientific to the mystical depending on the technique, but the real answer is, they don't know. Either they're just a con artist trying to scam you, or at some point, through pure trial and error, someone found a method that worked for them, and that worked at least some of the time when they tried to teach the method to others.
Sometimes, for some people, the steps they have discovered will help your mind act in a certain way that will eventually lead to happiness. But just because that step worked for person A doesn't mean that it will work dor person B, and whatever the step is, just performing it once won't necessarily cause your mind to behave the way that was intended. It might need to be something that needs repetition to reinforce it, or it might be something that requires just one moment of epiphany to work, and maybe that moment will happen the first time you try it, or the tenth, or maybe never at all no matter how many times you try that method. Or maybe the process is so gradual that each step won't seem to have any effect at all, until you suddenly realize one day after taking many steps that everything is different, or maybe there won't be discrete steps at all.
This can all seem horribly complex, and it is, it's probably more complex than we can know. We don't know how the mind really works, and although we can say that doing X or Y can make us happy, we can never say exactly why that is. However some people would rather believe it's simple instead. Maybe because they don't want to admit to themselves how hard it is, or maybe because they've never had to deal with it themselves.
Some people seem naturally inclined towards happiness, and others have chemical imbalances which make them inclined towards depression. In the same way, there are people who seem to be able to get away with eating whatever they want and never gain weight, and people who have genetic predispositions towards gaining weight. Someone with some kind of medical condition predisposing them towards weight gain can still lose weight, it's just much more difficult for them. Similarly, someone with a chemical imbalance will probably never be skipping around happily without the use of drugs to correct the imbalance, but i would expect that they could still make some improvements in their situation mentally. The same amount of effort would probably not give the same returns as someone without an imbalance, but there would be at least some return on the investment i think.
If people think they can somehow make you feel happy in some amazingly short period of time like two weeks, then they're either lying, or deluded. It may work for some people, but if so the problem was probably either situational, and the situation changed or they were motivated to change the situation themselves because of the program, or the person had already decided to seek happiness a long time ago, whether they knew it consciously or not, and the end of that seeking just happened to coincide with whatever program they've just been sold on. Those people might honestly believe that coincidence implies effect and be convinced that the "miraculous" change was due to the system, rather than a great deal of time and effort on their own part.
This of course is not to say that all systems are bad and people should avoid them. Systems can be usefull tools for helping you work with your mind to get the results you want, but they're only a tool, and even the best tool will still require a lot of time and effort to use properly. Any system that promises miraculous results without that time and effort should clearly be avoided unless they present some pretty damn extraordinary proof, and glowing user testimonials or money back guarantees just doesn't cut it.