The general concept is called "Cognitive Behavioral Therapy" or just CBT. One of the classic CBT workbooks (specifically for depression) is "Mind Over Mood"
Edit to add: Even though it looks like it might be, this isn't soft touchy-feely self-help bullshit. CBT has been proven as an effective treatment for things like depression. There's real science here.
http://www.amazon.com/Mind-Over-Mood-Change-Changing/dp/0898... I'm sure if you look you could find other books that are a little more academic than instructional, if that's what you're after.
Edit to add: Even though it looks like it might be, this isn't soft touchy-feely self-help bullshit. CBT has been proven as an effective treatment for things like depression. There's real science here.