That is situational depression and does not necessarily lead to Major Depressive Disorder (MDD) the illness. We are all born with personalities, strengths and weaknesses in our genes. I may have 60% antidepressant genes and only 40% depressant genes whereas you might have the reverse amount. True, it is not that simple, bad things can also happen to "push" or trigger the tendencies but even that is not all there is.

"They" don't really know what causes depression in any particular individual or even how to define it clearly for any particular individual. To me, someone telling me all my life (with no other opposing opinions) that I'm lucky and have nothing to be depressed about, etc. would be major abuse :-) Other people's/parents and adults jobs, are not to tell us who we are and how to be, they are to help us discover our strengths and weaknesses and support us as we learn about ourselves and the world around us. It does not sound like you had any of that.