Link: http://www.aane.org/asperger_resources/articles/miscellaneous/aspergers_depression.html
I'll quote some relevant sections here:
Treatment Issues: Failure in Psychotherapy
Health care workers have correctly identified some of the difficulties inherent in applying traditional methods of psychodynamic therapy to the Asperger mind. The main problem is that it usually doesn’t work. People with AS may thrive on the opportunity for one-on-one conversation provided by the therapeutic interaction, but we often don’t benefit much past this happy occasion to be listened to. We don’t carry things with us beyond the weekly session. This problem may stem from a difficulty in understanding and applying abstract symbolism and metaphors (though I’m not sure exactly how that would work), or it may arise because people with Asperger’s are so verbal we can “talk the talk” without necessarily ever learning to “walk the walk”–both inside and outside of therapy sessions...
...Two lauded treatments for severe depression–Cognitive Behavioral Therapy (CBT) and its offshoot, Dialectical Behavioral Therapy (DBT)–focus on reassessing and reconstructing one’s thoughts in the hopes of indirectly altering the feelings they invoke. Well I, for one, do not like to be told how to think. I value my own forceful beliefs and ubiquitous questions, my own Utilitarian sense of morality. Many of the theories espoused by cognitive therapists I simply do not agree with–and yet I am told what I must believe if I wish to get better. (Incidentally, “getting better” is one of those concepts I don’t believe in. I think people experience rising and falling levels of despair throughout their lives, and dubbing depression an illness that can be permanently “cured” is, in most cases, a ludicrous oversimplification.) Anyway…I cannot begin to say how much all of this frustrates me. While therapists gently suggest that I am “not cooperating fully,” I want to scream: Stop trying to control my thoughts! Leave my mind alone!
Of course, one way to sidestep the mind altogether (or try to!) is to follow the strictly behavioral therapies often employed to shape the behavior of autistic children. Unfortunately, such techniques may be all but useless for the higher-functioning person with Asperger’s Syndrome. I personally find behavioral therapy maddening: my cognitions–desires, judgments and questions–always creep in anyway. In most cases, I cannot be issued a command or even a suggestion without instantly wondering: Why should I do that? What’s the benefit? How do you know it will work? Who says? What if I think something else will work better? What are the consequences of my doing what you want me to do instead of what I feel is right? Just because it worked on some other people, how do you know it will work on me? Am I not a unique individual? Have you even thought about this?!