From a radical behavioural perspective of psychology, emotions can be seen as a response to a certain stimulus. We feel happy (we do things that are consistent with the state of happiness) because of a positive event (we go to a theme park, and the rides make us happy), as the question stated. When the stimulus (theme park) and reinforcer (rides) are no longer experienced, the happy response will eventually extinguish, and we no longer feel (outwardly) happy. But, those happy emotions do come back when we are remembering that positive event (remembering the trip brings up good emotions). In this case, it applies to sadness too. We feel sad about things, and over time we feel less sad about them because the thing that made us sad has gone away.

Depression is different in that it's not actually a very good name for it. Well that's not true, it's just that the word "depression" is used in multiple ways. Clinical depression is exactly what the word sounds like, where you feel like you're a balloon with a hole in it that's been deflated, and you're having trouble blowing it back up again. Behavioural models of depression tend to focus on the idea that either acutely or chronically, for some reason (outside events or internal causes) a person is unable to connect a positive event with the outcome. Remember the theme park visit? Imagine if a person was logically able to see that it was a positive event, but couldn't experience the reinforcing hapiness that came with it. So it's understandable that they will shut themselves out and not see the point in trying to do any more things. This is why therapy is required often for depressive individuals. They need to learn how to be happy again, almost literally. They need someone to care for their psychological well-being, because they actually aren't able to care about it themselves.

Chronic "happiness" does exist, but not in the way that you describe. I hope I've been able to show that sadness is different from depression, and so by the same logic I hope you understand that happiness can be different from contentment. Overstimulation of the reward pathways i.e. dopamine receptors have been linked with addiction, hyperactivity, paranoia, insomnia and high libido.

This explanation sounds very inhumane and possibly even robotic but I personally feel that the popular answers in this thread about human urges to keep danger in mind or that we are evolved to do this just aren't good enough explanations, because they make wildly unsubstantiated and sweeping assumptions about people that are almost guaranteed to not be verifiable. There are many interpretations of depression in the psychology literature, and this one is just one of them. I think this explanation, even if it is not true is a good model for treating depression because it at least pinpoints an area to work on. It's known that having a goal and an expected outcome is helpful for reducing depressive symptoms and so any explanation that provides a template for therapeutic intervention is worth looking at.