I cannot get my fingers on what problems I have. But I've always felt rather depressed.

Can someone suggest a reason why? Sharing an experience would be fine too.

Try writing something like a journal to collect your thoughts and actions. That helped me find out more about myself and my problems.

My problems stemmed from my abuse as a kid, which at the time I thought I was over that. I was over the actual abuse, but not what I did/believed due to it. I was depressed all the time without knowing why until i started writing a lot.