People can feel as you describe, but it is usually because they have chosen to give up hope. Some of it can be the lack of motivation they experience through being depressed. The other can be a personality issue, where they become self defeating and give up for that reason. Self defeating behavior can be hard to treat because the person wants to feel down and may feel rewarded for being depressed so they do not want to get better. If they got better, they would lose the reward they get from being depressed. I'm not saying this is you. It's just one of the reasons people give up on treatment.
There are always options for treatment. It may not be a pleasant experience to try many things that do not work. It can be very frustrating. But to give up hope is to allow yourself to stay as you are with no options. That is worse than feeling discouraged but continuing to try.
There are some people who have a lot of bad things happen to them over their lifetimes. There is no rhyme or reason for it. It's just the way life is. Some have it good, others have it bad. But accepting that you have a difficult time of it and coping the best you can helps. Compensating by surrounding yourself with support, taking extra care of yourself and continuing to try to find answers can make a big difference in how it all plays out for you. And remember that there are others out there who feel as you do. You are not alone.
I don't think I feel any reward for feeling so sad. I do want to get better but I am very unsure that I am capable to anymore. I have so much on my emotional plate right now that feeling hope right now is near impossible.
Sometimes I feel that if I could just accept that my life will be filled with difficulties and tough issues, and having bad things happen to me, then I would be able to live life easier. I know this sounds backwards but I just feel I am running out of options of getting better. The dream for a happier future seems so very distant right now. Sometimes, I can't see it at all.
I didn't think that you were getting a reward for acting depressed. I was just pointing out what causes people to sometimes get stuck with feeling down. Understanding why it happens can help you avoid it.
You are very capable of getting better. It is a matter of changing your thoughts and maybe changing your treatment. And like you said, accepting that your life is difficult. By accepting it, you take away the power it has over you.
If you dream of a better future, you might want to make plans to change your life so you can reach those goals. You can write down your goal then start by making small steps each day to reach that goal. It is very possible that by changing your life to what you want it to be you can help yourself feel better because you will feel more in control of what happens to you.