Quite strong, and well-studied. It's called the "depressive realism" effect:

http://en.wikipedia.org/wiki/Dep...

By this theory, you perceive reality more realistically when depressed, and that makes some of your thinking a lot better.

Also see this article in SciAm, "Depression's Evolutionary Roots"

http://www.scientificamerican.co...

A relevant quote from that article:

Analysis requires a lot of uninterrupted thought, and depression coordinates many changes in the body to help people analyze their problems without getting distracted. In a region of the brain known as the ventrolateral prefrontal cortex (VLPFC), neurons must fire continuously for people to avoid being distracted. But this is very energetically demanding for VLPFC neurons, just as a car’s engine eats up fuel when going up a mountain road. Moreover, continuous firing can cause neurons to break down, just as the car’s engine is more likely to break down when stressed. Studies of depression in rats show that the 5HT1A receptor is involved in supplying neurons with the fuel they need to fire, as well as preventing them from breaking down. These important processes allow depressive rumination to continue uninterrupted with minimal neuronal damage, which may explain why the 5HT1A receptor is so evolutionarily important.

Many other symptoms of depression make sense in light of the idea that analysis must be uninterrupted. The desire for social isolation, for instance, helps the depressed person avoid situations that would require thinking about other things. Similarly, the inability to derive pleasure from sex or other activities prevents the depressed person from engaging in activities that could distract him or her from the problem. Even the loss of appetite often seen in depression could be viewed as promoting analysis because chewing and other oral activity interferes with the brain’s ability to process information.