It can be depressing because it's not what you would have it to be. That's my case too, but we need to be thankful for all the many blessings God gives us just the same. If we look at the cup as half empty we might depress ourselves unnecessarily. Be positive. See Philippians 4:6-8.
I guess it's because there is a lot of pressure on you to be happy and joyful and to raise your expectations on Christmas because of movies and such, but when you compare your life to what your expectations are, you become disappointed thinking you didn't live up to whatever you thought was going to happen.