How intriguing that a CBT therapist had applied the association test (this is more common in depth psychology)
The word association test is only one way to trigger spontaneous responses from the psyche. The words wonderful or happiness may have not triggered a response in you if at the present moment you feel depressed or anxious (it does not imply that you are a person void of happiness or the ability to experience joy or happiness)
When people are depressed they can experience a sense of anhedonia (the inability to enjoy things that they used to enjoy or experience pleasurable feelings) Of course, everything is temporary in life so is this occurence.
Medications as well as counseling are a way of dealing with the depression which, you're already doing.