Although depression is characterized as a mood disorder it turns out that, like moods in general, it cannot be explained independently of a theory of emotion. In this paper I outline one promising theory of emotion (Multicomponential Appraisal Theory) and show how it deals with the phenomenon of depressive mood. An important aspect of MAT is the role it assigns to peripheral information processing systems in setting up emotional responses. The operations of these systems are automatic and opaque to consciousness, but they represent information about the significance of the environment for the subject, bias cognition and behaviour, and have a characteristic phenomenology. I show how understanding the nature of peripheral appraisal provides a principled way to link neurochemistry and mood via an information processing theory of the circuitry targeted by antidepressant treatment. The discussion is organized around Matthew Ratcliffe's distinction between pre-intentional and intentional feelings and suggests that the MAT might provide a way to link phenomenological and mechanistic accounts of feeling states characteristic of depression.