On a sidenote, I know that knowing that it is "just your depression talking" is also a pretty hard pill to swallow and not always helpful. Personally I have a lot of fears that I know are irrational but that doesn't make them any less real.
And even if your problems are external, sometimes you need to focus and your inner self first, find some strength and help so you can tackle the external problems later. But for other people "working on yourself" can be avoiding the actual problems they need to work on.
And yes happiness is always relative.
We tell ourselves that we must have "better lives" than say a native american in the year 1000AD, but there's no reason to think that.
I think odds are that maybe the native american was happier -- having a small group that you spend time with outdoors every day, getting extensive exercise, having a clear sense of purpose, eating healthy fresh food every day, never once thinking about politics or bills or global warming. I bet they liked their life more than a depressed divorced accountant in our modern society, even if we have more material wealth or health access.