Depression doesn't have to be caused by one or even a series of "bad" or traumatic events (although it certainly can be). Mine was the cumulation of years of all kinds of poor self-esteem, negative thinking patterns, and wonky brain chemistry. If you think you're depressed, or if you're not sure, leacon's list is definitely something to consult; otherwise you can always see a doctor or mental health professional, who would be able to help you figure out what's going on as well.
I often feel like I'm lost inside myself. In fact, when my depression kicks in, it feels like I withdraw so far into my own head that I can't really experience the outside world any more. I just don't notice anything but my problems or failings, and I have a warped sense of almost everything, which can make even simple things like doing groceries or going for coffee with a friend feel like a tremendous effort. If you think you're depressed, take action to see if that's what it is. The earlier you get help for it, the better.