Hello Liinu: I'm sorry you are feeling lost & confused. I feel similarly a lot of the time, I'm afraid. Plus I also struggle with quite a bit of anxiety. So I know how that is. Depression, as the professionals always tell us, is a physiological condition. It's an imbalance of chemicals in the brain. So the fact that one's life is good doesn't necessarily mean that one cannot develop depression. Of course, it is also possible there could be something medical going on. (I presume you've had yourself checked out medically.)
One thing I personally believe is that anxiety, over the long term, can be corrosive. It eats away at one's psyche, so to speak. So, from my perspective, it is perhaps also possible that if you've been struggling with anxiety for an extended period of time, it may have simply worn you down to the point where you are developing depression even though, as you wrote, everything in your life is good. Of course, I don't really know. But these are my thoughts with regard to your post. I wish you well...