Some people can some people can't. Depression is a mental disorder just like multiple personality disorder etc. It depends on the severity of the condition. Medication helps you know what it feels like to be "normal" which helps a lot of people.
But no, you conscious mind is not in control of your subconscious emotions. Thoughts can influence emotions, and change the way you look at things, but it is not and complete control. Do something that scares you and try to rationalize yourself to stop being scared. It doesn't work.