Cardiff University researchers used MRI scanners to show eight people how their brains reacted to positive imagery.
After four sessions of the therapy the participants had seen significant improvements in their depression.
Another eight who were asked to think positively but did not see brain images as they did so showed no change.
The researchers said they believed the MRI scans allowed participants to work out, through trial and error, which sort of positive emotional imagery was most effective.
The technique - known as neurofeedback - has already had some success in helping people with Parkinson ' s disease.
Brain activity
But the team acknowledge that further research, involving a larger number of people, is needed to ascertain how effective the therapy is, particularly in the long term.
Prof David Linden, who led the study which was published in the PLoS One journal, said it had the potential to become part of the " treatment package " for depression.
About a fifth of people will develop depression at some point in their lives and a third of those will not respond to standard treatments.
Prof Linden added: " One of the interesting aspects of this technique is that it gives patients the experience of controlling aspects of their own brain activity.
" Many of them were very interested in this new way of engaging with their brains. "
Chris Ames, from the mental health charity Mind, said: " While these initial results are interesting, the research is clearly at an early stage.
"Further research should give a better idea of how beneficial this technique could be as a treatment for depression."
