The manifold symptoms of depression are common and often transient features of healthy life that are likely to be adaptive in difficult circumstances. It is when these symptoms enter a seemingly self-propelling spiral that the maladaptive features of a disorder emerge. We examine this malignant transformation from the perspective of the computational neuroscience of decision making, investigating how dysfunction of the brain's mechanisms of evaluation might lie at its heart. We start by considering the behavioral implications of pessimistic evaluations of decision variables. We then provide a selective review of work suggesting how such pessimism might arise via specific failures of the mechanisms of evaluation or state estimation. Finally, we analyze ways that miscalibration between the subject and environment may be self-perpetuating. We employ the formal framework of Bayesian decision theory as a foundation for this study, showing how most of the problems arise from one of its broad algorithmic facets, namely model-based reasoning.