Dr. Robert has some good stuff on his site about depression. Check out this page called Am I Depressed?. You can also use the search box on his site or here at the top of the page to find other material.
i wouldn't doubt it.
i read recently that it does indeed effect your physiologically.
i've had depression for ten years and my concentration went a long time ago. now i can only concentrate when i'm really interested in something, or actively partaking in something.
there are possible comorbid links or variables too. perhaps bad nutrition, or a natural propensity to 'wander off' into other cognitive experiences. this becomes more acute with depression, where wandering off can, i believe, be a sign of overstimulation and brain exhaustion.
depressed people are often likely the type who possess something called low latent inhibition, which means not being able to filter out all the stimuli from the environment. see wiki for that.
you may be a 'highly sensitive person' which means your neurology is markedly different from others, and depression is often a by-product for them folk.
sorry though, don't have any pictures or graphs regarding how depression changes the brain.
just my two cents