Do depressed people think that they always thought in such a negative way? I feel like I may have read or heard a finding that depressed people may get the delusion that they always used to think in such a negative way as has begun since getting depression. Is it so?
Not always.

If depression sets in because of repeated failure at a task (i.e. exams) or a sudden life-changing incident, it is possible to perceive the past (before the dark times) as being a lot more flowery and beautiful than it may have been in reality. This has the effect of reinforcing the feeling of having 'fallen' from a happy place in life.

This also happens when someone tries to make their way out of depression and uses the 'happy past' as reference to recreate habits and thoughts as they remember, in a bid to feel better again. Whether or not it works is another story.