When you feel badly your thinking becomes negative. 

This is the ABC of emotion: 
'A' stands for the Actual event, 
'B' for your Beliefs about it, and 
'C' for the Consequences you experience because of your beliefs.  

(Ellis. 1973  Albert Ellis is the founding father of the Rational-Emotive Approach to Psychotherapy)

Suppose the actual event is a divorce. You might believe many of the accusations your ex-spouse leveled against you: You are selfish, uncaring, vindictive, etc. The consequences of these beliefs might be deep depression.  Cognitive therapy tries to change the "Bs" so you don't experience the "C."

How can you change your beliefs?.... Try the following:

• What would you say to a friend?
  People are generally much harder and more critical of themselves than they are on others.  Next time you judge yourself... think again... if it was a friend telling you about the mishaps of their life, what would you say to them?
• Do a quick reality-check
  What are the facts as opposed to your feelings or reactions.
• Look for the positive
  Every situation has some good in it, look for the positive and build on that... avoid focusing on the negatives
• Verify
  Sometimes it helps to ask a few good friends what they think of a situation, or how they think of you... you might get a very pleasant surprise
• Deal with the problem.
  Don't get upset and angry about problems that you can deal with, make the changes that you can to change the situation.  Just griping about them does not make them go away.

References:
Burns, David, MD The Feeling Good Handbook  Plume/Penguin, NY, 1989
Ellis.  Albert,  Humanistic Psychotherapy  McGraw Hill  1973