I don't see how we could "think on these things": "whatsoever things are true, whatsoever things are honest, whatsoever things are just, whatsoever things are pure, whatsoever things are lovely, whatsoever things are of good report; if there be any virtue, and if there be any praise..." without feeling uplifted! And I don't think God would have told us to focus on these things without giving us the ability to do so (in Christ). So yes, to a certain extent, joy is a choice.
Not to say that there aren't physical problems that can cause depression (thyroid issues, for instance)--there are! But if we are depressed, I think we ought to evaluate the condition of our hearts, and as Andrew said, our focus, as well as our physical condition.
This is slightly off-topic, but I think it's essential to teach our children to choose joy. If you allow a child to wallow in self-pity when he, say, loses a game, then he will become an adult who does the same. It's important to teach our children right attitudes as well as right behavior.