[ignonsoli]

Doesn’t that mean we need to think about ‘why’ we are feeling a certain way i.e. depressed or unhappy, in order to consider whether we need to change our life in some way?

Yes. Certainly. Without doubt. This is an external, social and/or behavioural matter.

Bhante Vimalaramsi is referring to the meditation context, when we embark on an 'inward' journey.

Its also this puzzle about what comes first - the thought or the feeling. Does a feeling just arise and then we add thoughts onto it which makes it become bigger and feel worse, or do we have unhappy thoughts about something which then leads to our feeling unhappy and sad about it.

Ultimately, feeling comes first. A simple example is physical hunger. First, there is the pain of hunger; second, the craving of hunger; and third, the thinking about hunger and obtaining food.

But, as you have pointed out, feelings & thoughts can generate eachother. For example, a thought or memory can generate feelings.

However, ultimately, this thought or memory is founded on a feeling. For example, someone said something hurtful to you in the past and that experience is embedded in your memory due to the feeling of the experience. But when it returns to your consciousness, as a memory in the here & now, it returns as a thought. But deep down in the subconscious, the memory is established there due to a feeling.

Kind regards