Is it possible to control it?

Something I always thought when it came to MDD is that you can’t control it but at the same time, when I am in a dangerous situation I can e.g. I’m a young woman and when I have to go out to do something at night, I’m always on high alert and don’t daydream. But it’s weird cause in fight/flight situations e.g. when a deadline is steadily approaching, and I have so much anxiety I can’t take it, I can’t help but daydream. Also generally when I am in a normal state, it still happens without controlling it, when I’m in public, walking , whatever it is, only if I am in an environment where I am constantly stimulated it won’t happen.