Because there are people diagnosed with depression who do succeed at holding jobs. So they won't assume you are disabled just because you are depressed. (That would be prejudice and would violate the Americans with Disabilities Act.) You have to show how your symptoms have interferred with you at work. You have to illustrate that very specifically.

If you are rather young, they may figure you just need more experience in the work force.

I applied for SSDI/SSI based on chronically recurring depression, and I got approved in 3 months. It helps to have a well documented history of going for treatment, combined with an extensive history of job failures. I had both.

Keep working with your lawyer.