Why am I depressed when everything is going so well in my life?

Discriminates? Major depressive disorder does not discriminate. Your life may be perfect, your life may be in shambles, you may be rich, you may be poor, you may be young, you may be old, you may be male, you may be female, you may be a construction worker, you may be a physician and all may suffer the ravages of depression. Fortunately we have effective treatment for all. See your md if you are depressed.
Not your fault. Some depressions are biological illnesses that have little relationship to how good things are in your life. Fortunately these depressions usually respond to antidepressants.
Medical condition. You may be hypothyroid, have a hormone imbalance, nutritional deficiencies or allergies. Any of these can make you feel depressed. Feeling depressed doesn't mean you have depression. Find a doctor who will take the time to find the real cause and not just prescribe drugs for symptoms.