Ray Ortlund, Jr. gives the answer (Isaiah: God Saves Sinners, 333-334):
Why do we have ears on the outside of our heads? Why not on the inside? Because we’re not supposed to listen to ourselves. I wonder how much of our misery stems from our almost religious devotion to our own thoughts and feelings. But that inner personal world where you and I live constantly – what relation does it bear to the atmosphere that the gospel creates? We spend every moment of our entire lives within a mental universe. The quality of that environment matters. Are our ears open to the in-flowing blessing of God? Do we understand what it means to listen to God? He wants to re-tune our ears so we can hear the word of God again. That alone is how we escape our fantasies and enter into reality with God.
Dr. Martyn Lloyd-Jones, commenting on Psalm 42, unpacks it further (slightly edited):
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 problem 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 are you cast down, O my soul?' he asks. His soul had been repressing him, crushing him. So he stands up and says: 'Self, listen for a moment, I will speak to you'. Do you know what I mean? If you do not, you have but little experience.
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 are you cast down'--what business have you to be disquieted? You must turn on yourself, upbraid yourself, condemn yourself, exhort yourself, and say to yourself: 'Hope…in God'--instead of muttering in this depressed, unhappy way. And then you must go on to remind yourself of God, who God is, and what God is and what God has done, and what God has pledged Himself to do. Then having done that, end on this great note: defy yourself, and defy other people, and defy the devil and the whole world, and say with this man: 'I shall yet praise Him, my salvation and my God'.
Spiritual Depression: Its Causes and Cures, pp. 20-21.