Challenging unhelpful thoughts
What we think can have a big impact on how we feel. According to Cognitive Behaviour Therapy (a widely used and researched approach to treating low mood and anxiety), it's not the events in our lives that cause us to feel down or anxious, but our interpretation of those events (e.g. how we think about them) that influences our emotions.
Take this example: five people are waiting at a bus stop for a bus that arrives late. One person feels anxious about getting to work on time and believes that if they are late, their whole day will be ruined, and they won't be able to finish all of their work. This person might feel worried and angry that the bus is late. Another person believes that sometimes these things happen, and that they'll just have to do their best that day, see how much work they can get done, and plan to do the rest another time. This person might feel more relaxed and less stressed about the bus being late.
What's different between these people and how they feel are their thought patterns. The 'cause' is the same for both people - the bus arriving late.