From: Spiritual Depression: Its Causes and Its Cure, Dr. Martyn Lloyd-Jones writes,

I say that we must talk to ourselves instead of allowing 'ourselves' to talk to us! Do you realize what that means? I suggest that the main trouble in this whole matter of spiritual depression in a sense is this, that we allow our self to talk to us instead of talking to our self. Am I just trying to be deliberately paradoxical? Far from it. This is the very essence of wisdom in this matter. Have you realized that most of your unhappiness in life is due to the fact that you are listening to yourself instead of talking to yourself? Take those thoughts that come to you the moment you wake up in the morning. You have not originated them, but they start talking to you, they bring back the problems of yesterday, etc. Somebody is talking. Who is talking to you? Your self is talking to you. Now this man's treatment [in Psalm 42] was this; instead of allowing this self to talk to him, he starts talking to himself. 'Why art thou cast down, O my soul?' he asked. His soul had been depressing him, crushing him. So he stands up and says: 'Self, listen for a moment, I will speak to you.'....

The main art in the matter of spiritual living is to know how to handle yourself. You have to take yourself in hand, you have to address yourself, preach to yourself, question yourself. You must say to your soul: 'Why art thou cast down'—what business have you to be disquieted? You must turn on yourself, upbraid yourself,...exhort yourself, and say to yourself: 'Hope thou in God.'

From the sermon where this quote was taken: "Have you realized that most of your unhappiness in life is due to the fact that you are listening to yourself instead of talking to yourself?"