Now, you must understand that depression is a very controversial mental illness. You see, depression is a mental disorder, but it's not a mental
disease, it's important to note the difference. A mental disorder simply means "something is out of the ordinary", there is a
disorder in your mental state. A mental disease is what you're describing, something that causes a permanent, physical malfunction of the brain. You mention chemicals in the brain and I'm glad you did, a lot of people reckon that an imbalance of hormones and chemicals is proof that depression is a physical disease and not a disorder. However, chemical changes occur in the brain all the time, when you're happy your brains chemical balance changes, when you're sad your brains chemical balance changes, when you're anxious your brains chemical balance changes and when you're depressed your brains chemical balance changes. Depression would be a disease if it was caused BY the chemical balance, but most scientists believe the chemical balance is caused BY the depression, that is the depression is simply like any other emotion, but longer lasting and abnormal.
That said, depression is still an abnormality of the mental state, and because of that you can't simply "not be depressed" like you can't simply "not be sad". Also, depression is the state of being sad for a long period of time, so it'd take a quite a long time for you to "stop being depressed", so in that sense your ex-GF was incorrect and misinformed. But I believe you're also misinformed on what depression is. A lot of people incorrectly assume that depression and anxiety is something permanent that stays with you forever, that even if you're happy the depression "is still there, lurking in the back of your mind". If you think of this in a form of neuroscience, this doesn't really make sense, there's no "backup" or "stored" emotions, emotions are based on the chemical state of your brain, so it doesn't make sense to say that your "depression is always there" when you're happy, because your current brains state is happy and no other emotion. I think when people do say that, it causes problems, because psychology also shows that expectations of something changes our mood on that thing. That is, if you did a boring task but thought the task would be fun, you'd have a better time than doing a boring task thinking the task would be boring. So, in this way, when someone believes depression is out of their control and permanent, they will be more likely to be depressed over a longer period of time, because they [expect] to be depressed and thus adhere further to depression.
Depression can be caused by many things, but like everything it comes down to genetics and environment. Your personality says a lot about whether or not you'll become depressed, if you're someone who sees more negative things in a scenario than positive, you'll be more likely to become depressed (this is not BAD or GOOD it's just a personality). But, environment is also important, because even if you see more negative things in a scenario than positive things, if you have a good environment then there's not many negative things to see and you won't become depressed. That said if you've got a non-depressive personality, but have a terrible environment, then you will also be depressed (though you'd need a worse environment than if you had a depressive personality). So, like every other human personality trait, it comes down to genetics and environment. (So in a sense, it's still out of your control really. You aren't "weak" for being depressed, it's just how your personality and environment have intertwined)
Here's some reading about the state of depression as a mental disorder, what it means and some misinformation people believe.
http://psychcentral.com/lib/what-is-depression-if-not-a-mental-illness/000896http://www.ncbi.nlm.nih.gov/pmc/articles/PMC1508784/pdf/amjph00009-0024.pdf (this is just about publics perception on mental disorders as a whole, it's interesting but doesn't really support/defeat my point, just an interesting read really)
http://www.webmd.com/depression/mental-health-depression (Here's a web-MD view of depression. You may notice that it is entirely based on symptons, the classification of the disease is not treated as chemical imbalances or physical malfunctions, but simply the symptons of depression. You may also know it states depression is not permanent (or infers it).)