They put electrodes on the scalps of the patients and found that those given Prozac showed an almost immediate decrease in activity at the front of the brain - well before any remission was noted.
The researchers say that their findings could suggest new ways of treating the condition, which is likely to have a huge impact on disease in the next century.
Scientists from the University of California's Neuropsychiatric Institute were studying the effect of the anti-depressant Prozac on the brain.
They did a placebo trial for comparison and found surprising results.
Opposite results
Of the 26 patients studied, half were given Prozac and half a placebo.
After eight weeks, the researchers noted a remission in just under 50% of people on placebos and just over 50% of the patients on Prozac.
They put electrodes on the scalps of the patients and found that those given Prozac showed an almost immediate decrease in activity at the front of the brain - well before any remission was noted.
But patients given placebos showed a gradual increase in activity at the front of the brain, which only disappeared as the time approached for the patients to be told whether they were on placebos or Prozac.
Addressing the annual meeting of the American Psychiatric Association, Dr Andrew Leuchter, who led the research, said it was unclear why the effect wore off at this point.
It could be that it only lasts for a short period or that it was due to patients anticipating being told about the drugs.
Once they were told they were on placebos, the patients continued in remission for several weeks, but then began complaining that they felt depressed.
Different treatments
Dr Leuchter said it was unclear why Prozac and placebos had such different effects on the brain.
"There's probably more than one pathway to clinical improvement," he said.
Dr Robert Post, head of the psychiatry branch of the National Institute of Mental Health, said depressed patients could show either overactivity or underactivity in the frontal part of the brain.
He added that some patients might respond better to different types of treatment for depression.
Mental health charities in the UK believe the recent boom in anti-depressants has led to an over-reliance on a medical model for treating depression.
They say anti-depressants do not always work, which suggests that patients respond differently to them.
Other studies have shown that placebos can improve some people's depression.
The charity Mind says depression is a complex issue, which is as much to do with a patient's circumstances as with chemical reactions in the brain.