Automatic depression detection provides cues for early clinical intervention by clinicians. Clinical interviews for depression detection involve dialogues centered around multiple themes. Existing studies primarily design end-to-end neural network models to capture the hierarchical structure of clinical interview dialogues. However, these methods exhibit defects in modeling the thematic content of clinical interviews: 1) they fail to explicitly capture intra-theme and inter-theme correlation, and 2) they do not allow clinicians to intervene and focus on themes of interest. To address these issues, this paper introduces an interactive depression detection framework, namely Predicting Depression in Screening Interviews from Interactive Multi-Theme Collaboration (PDIMC). PDIMC leverages in-context learning techniques to identify themes in clinical interviews and then models both intra-theme and inter-theme correlation. Additionally, it employs AI-driven feedback to simulate the interests of clinicians, enabling interactive adjustment of theme importance. PDIMC achieves absolute improvements of 12% on Recall and 35% on F1-dep. metrics, compared to the previous state-of-the-art model on the depression detection dataset DAIC-WOZ, which demonstrates the effectiveness of capturing theme correlation and incorporating interactive external feedback.