The Cardiff University study, published in the PLoS One journal, used MRI scanners to show eight people how their brains reacted to positive imagery.
After four sessions of the therapy, called neurofeedback, the participants witnessed significant improvements in their depression. However, another group of participants who were asked to think positively but did not see brain images like the above group showed no change, the researchers found.
The researchers believe the MRI scans allowed the study participants to work out, through trial and error, which sort of positive emotional imagery was most effective, the BBC News reported.
But the team acknowledged that more 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, said neurofeedback technique, which has already had shown some success in helping people with Parkinson's disease, 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.
"One of the interesting aspects of this technique is that it gives patients the experience of controlling aspects of their own brain activity," Prof Linden added.
"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," Ames added.