Depression is categorized as a psychological disorder, and that's a reasonable classification. Depression often manifests in a person's thinking. A depressed person will have a different perspective, a generally more pessimistic perspective, when considering life circumstances than a non-depressed person will. Depression, however, doesn't begin and end with a person's thinking.
The reality is that most of depression's symptoms are physical in nature, not psychological. Some of the more common symptoms of depression include excessive sleep patterns or sleeping too little, weight gain or weight loss, lack of energy, emotional outbreaks, and other symptoms as well. Considering this symptom list, being overly emotional is the only symptom that might be seen as mostly psychological in nature, but even that presents in a physical way through crying or hostility or whatever.
The labeling of depression as a psychological problem, a problem of the mind, equates it with mental instability or weakness in the minds of some. Men in particular seem to be especially sensitive to being labeled with some form of mental or emotional disorder. On its face this type of resistance may not seem overly problematic, but it can become quite a serious issue.
Resistance to even admitting to possibly being depressed is naturally going to lead to treatment resistance as well. Depression has been known to clear independent of any treatment. This may be especially true in the case of a one time meaningful loss, the end of a relationship for example, or a death. Depressive episodes that aren't preceded by a significant or traumatic event, however, can lead to chronic depressive episodes. Chronic depression most always needs intervention, and without intervention can lead to a person becoming severely distraught and even suicidal.
Emphasizing the physical nature of depression can diffuse the stigma of a depression suggestion or diagnosis. This may be the reason that depression is sometimes attributed to a chemical imbalance in the brain. While some clinicians don't like this description, there's significant evidence that the brains of depressives do have a different make up than the brains of people who aren't depressed. In other words, the brain is changed when depression sets in. Having this knowledge is what's opened the door to the development of any number of depression drugs over the preceding few decades, with each drug designed to "repair" the brain.
So depression changes the brain, and could even be said to imbalance the brain. The makeup of the brain being somehow changed would seem to define a problem that's physical in nature, so depression may be a mostly physical condition after all.