When my dad and brother died, I was manic, and while I was terribly melancholy, I wasn't what I call depressed. I worked nights, and went without sleep to sing and cry all day. I've often felt guilty because it hurt so much, but I know it wasn't as debilitating as a depression. Then again, it's probably the only instance of true, real and abiding sadness I've ever felt.
I think it's natural for grief to be different.
I hope you feel better soon.