I was a happy kid. This first time I ever took typology tests, I tested as an ENTJ and a 2w1 (I was 10 years old). I fell into depression when I was in middle school and typed as INFP and 4w5 when I was 13. The depression has recurred since then; I have had three significant episodes of clinical depression in the past 4 years, which have made me more of an introvert and less of a conscientious person (behaviorally), and, in an interesting way, FAR more of a Feeling-type person (cognitively), so it's certainly interesting to me to hear that others have tested as Thinking-types during depressed periods. My experiences have been with MDD - before this thread, I was not familiar with dysthymia.
As far as my preference for Feeling over Thinking (which is cast in steel), I'm not sure how much of that is down to depressive disorder and how much is down to exposure to psychotherapy.
When I first became interested in typology, all I knew of my cognition was depressed me. Since I am in a healthy period and have been since right before I joined this forum, I feel as though my depression had indeed lead me to being mistyped, as I am now pretty sure I am an INFJ. Behaviorally I don't necessarily fit the conscientious mold (especially with work/school related things) but cognitively I am sure I use Pi and Je.