How to change your way of thinking/feeling?
I believe in CBT...analyze your thinking and realize there can be alternative interpretations; trying different behaviors and realize behavior isn't static.
For myself change has come slowly though sometimes I've had some leaps of success. Again, speaking only of my experience, I struggled to come to terms with perfectionism and control--to realize neither is a reasonable goal, nor can I change that reality. There was an ever present dialogue of self-criticism in my head. Something my therapist said to me really helped me decrease those thoughts: 'Does expending the energy and thought in criticizing yourself (for not being perfect, for 'failures', etc) really accomplish anything? Does it help you achieve that perfection you expect of yourself? Does it make you a better person? Does it give you more control? Does it make you less depressed? Does it give you a sense of contentment and happiness?'
Of course the honest answer is those thoughts were part of the cycle of my depression, that most of the thoughts I had were just false, others greatly exaggerated. Now, if find myself starting that critical dialogue I remember what she said to me and it almost always stops. That was a huge change in my thinking.
But before I really understood I had kept a thought diary very similar to the one on this site. I had to know on conscious level what I was thinking and to actively challenge those thoughts.
As for what others may think...
I try to remember other people are almost always too preoccupied with themselves to think too much about me.
Also depression makes 'simple' things difficult. I've been so depressed getting out of bed was a huge challenge. Did I do my therapy assignment? Did I do one load of laundry? Did I clean the bathroom? Did I leave the house 1 time this week, 2 times, 3 times? No matter how insignificant it may seem to someone else, if something is a challenge for me and I did it, it's an accomplishment.