E-mental health for depression is increasingly used in clinical practice, but patient adherence suffers as therapist involvement decreases. One reason may be the low responsiveness of existing programs: especially autonomous systems are lacking in their input interpretation and feedback-giving capabilities. Here, we explore (a) to what extent a more socially intelligent and, therefore, technologically advanced solution, namely a conversational agent, is a feasible means of collecting thought record data in dialog, (b) what people write about in their thought records, (c) whether providing content-based feedback increases motivation for thought recording, a core technique of cognitive therapy that helps patients gain an understanding of how their thoughts cause their feelings. Using the crowd-sourcing platform Prolific, 308 participants with subclinical depression symptoms were recruited and split into three conditions of varying feedback richness using the minimization method of randomization. They completed two thought recording sessions with the conversational agent: one practice session with scenarios and one open session using situations from their own lives. All participants were able to complete thought records with the agent such that the thoughts could be interpreted by the machine learning algorithm, rendering the completion of thought records with the agent feasible. Participants chose interpersonal situations nearly three times as often as achievement-related situations in the open chat session. The three most common underlying schemas were the Attachment, Competence, and Global Self-evaluation schemas. No support was found for a motivational effect of providing richer feedback. In addition to our findings, we publish the dataset of thought records for interested researchers and developers.