Differential diagnosis is the discipline of holding multiple possibilities open and narrowing them through deliberate evidence rather than premature closure. The most common diagnostic error in psychiatry is anchoring on the first plausible diagnosis and confirming rather than investigating it.
Open the differential wide initially. List the diagnoses you should consider before deciding which one fits best. Major depression, bipolar depression, adjustment disorder, anxious depression, substance-induced mood disorder, medical mimics (thyroid, B12, anemia, OSA), grief, demoralization, normal sadness. Wide is the default for the first pass.
Order by probability AND clinical significance. Major depression at the top because it's common; bipolar disorder kept on the list because missing it changes treatment; thyroid disease kept on the list because it's treatable and easy to test. "Don't-miss" diagnoses stay on the list even when probability is modest.
Distinguishing features shift the probabilities. What would rule in bipolar? Hypomanic history, antidepressant-induced switches, family history, mood instability. What would rule in thyroid? Symptoms beyond mood (cold intolerance, weight changes, energy, hair, menstrual). What would rule in substance-induced? Temporal relationship to substance use. Ask the questions that would distinguish; don't just confirm the first hypothesis.
Anchoring bias is the cognitive error to watch for. Once you've formed a hypothesis, you tend to weigh evidence supporting it more heavily and discount evidence against it. Counter this by deliberately asking: "What would make me wrong about this?" Investigate that question with the same energy you'd investigate the supporting evidence.
Reopen the differential at decision points: when treatment fails, when symptoms change, when new information emerges. The "treatment-resistant depression" patient often turns out to be a missed bipolar disorder, or a thyroid problem, or substance use, or an inadequate trial. Failure to respond is a signal to reconsider, not to escalate within the same framework.