Up to this point in my life, I've been pretty lucky when it comes to discussing my anxiety and depression. Only twice have people asked me, "What do you have to be depressed about?" Since that second time was just a few days ago, I thought I'd address the topic here.
My standard response (if you can call something that's been used twice "standard") is, "That's not how it works." The Centers for Disease Control and Prevention estimate that one in ten American adults suffer from depression across a spectrum of socioeconomic factors. The National Institute of Mental Health reports that "Women are 70% more likely than men to experience depression during their lifetime." According to this article over at WebMD, there is a strong possibility that genetics plays a part in depression (i.e., if you have a depressed parent, you have a higher risk of being depressed) and that the illness is not exclusively environmental, though it can be situational--for example, when you're depressed after the loss of a loved one. Here's a handy infographic breaking down some of the statistics.
My generalized anxiety disorder is co-morbid with my mild depression, which sometimes means that one makes the other worse. That's tons of fun, as you can imagine. In spite of having lived through this stuff, it's difficult for me to describe the whole experience of being anxious and depressed. Allie Brosh at Hyperbole and a Half does a great job of breaking down the depression part here and here. She writes in the first post, "Some people have a legitimate reason to feel depressed, but not me. I just woke up one day feeling sad and helpless for absolutely no reason." And there you have the truth, even if you don't have the science to back it up: sometimes there is not a single good fucking reason for this.
The good news is that no one has ever asked me in a malicious way why I'm depressed (or anxious). In fact, the last person who asked named off all of these good reasons why I shouldn't be. He had a point, but his point isn't as strong as genetics or brain chemicals, although I won't tell him that because I don't want to bring him down with me. However, I urge you all to think before you ask the question, because it can be insulting and, frankly, painful for those of us who have been in the great black hole.