The following comes from Johns Hopkins Health Alerts.
Some medical conditions, including neurological disorders (such as multiple sclerosis and stroke), hypothyroidism, fibromyalgia and chronic fatigue syndrome, are associated with dysthymia. Investigators believe that, in these cases, developing dysthymia is not a psychological reaction to being ill but rather is a biological effect of these disorders.
There are many reasons for this connection. It may be that these medical conditions interfere with the action of neurotransmitters, or that medications (such as corticosteroids or beta-blockers) taken for a medical illness may trigger the dysthymia or that both dysthymia and the medical illness are related in some other way, reinforcing each other in a complicated manner.
Dysthymia can also follow severe psychological stress, such as losing a spouse or caring for a chronically ill loved one. Older people who have never had psychiatric disorders are particularly susceptible to developing dysthymia after significant life stresses.
The point Johns Hopkins makes earlier in the article is this: dysthymia should be treated and not left alone for a long period of time, because untreated it can turn into major depression, and then one is not just subject to “feeling down,” one is confronted with a terrifying life crisis.