Joanne Wood et al. had an article published in Psychological Science in June 2009. It was a study in which subjects with low self-esteem felt worse after doing various "positive thinking" exercises. Subjects with higher self-esteem felt better with self-affirming statements.
Here is a link to the abstract: http://www.ncbi.nlm.nih.gov/pubmed/19493324
So the study seems to suggest that it could be detrimental to engage in "positive thinking" if you are already having depressive thoughts, or negative thoughts about yourself or your situation. The authors theorize that if you if have a negative view of yourself, then it may simply draw more attention in your mind to your own negative self-view, if you force yourself to make a positive statement about yourself. The positive statement may simply seem ridiculous, unrealistic, unattainable, perhaps a reminder of something you don't have or feel that you cannot ever have.
However, the study is weak, and demonstrates something that most of us could see to be obviously true. The study is cross-sectional, and looks at the effect of a single episode of forced "positive thinking." This is like measuring the effect of marathon training after one single workout, and finding that those already in good shape really enjoyed their workout, while those who hadn't run before felt awful afterward.
Any exercise to change one's mind has to be practiced and repeated over a period of months or years. A single bout of exercise will usually accomplish very little. In fact, it will probably lead to soreness or injury, especially if the exercise is too far away from your current fitness level. I suppose if the initial "exercise" is a gentle and encouraging introduction, without overdoing it, then much more could be accomplished, as it could get one started into a new habit, and encourage hope.
"Positive thinking" exercises would, in my opinion, have to feel realistic and honest in order to be helpful. They may feel somewhat contrived, but I think this is also normal, just as phrases in a new language may initially feel contrived as you practice them.
And, following a sort of language-learning or athletic metaphor again, I think that "positive thinking" exercises cannot simply be repeating trite phrases such as "I am a good person!" Rather, they need to be dialogs in your mind, or with other people -- in which you challenge yourself to generate self-affirming statements, perhaps then listen to your mind rail against them, then generate a new affirming response. It becomes an active conversation in your mind rather than bland repetition of statements you don't find meaningful. This is just like how learning a language requires active conversation.
Self-affirmation may initially be yet another tool which at times helps you get through the hour or the day. But I believe that self-affirming language will gradually become incorporated deeply into your identity, as you practice daily, over a period of years. Actually, I think the "language" itself is not entirely the source of identity change; I think such language acts as a catalyst which resonates with a core of positive identity which already exists within you, and allows it to develop and grow with greater ease. This core of positivity may have been suppressed due to years of depression, environmental adversity, or other stresses.