There are many reasons, and people are all individuals. I want to bring up one reason, that was important for me to realise:

From very small child you are imprinted by the society to feel and believethat negative feelings are not allowed. This belief is unconcious, and takes some self-awareness to notice. You are not allowed to fail, you are not allowed to be weak, you are not allowed to be angry or sad, you are not allowed to have any traits in your personality that are seen "negative", and what is seen negative varies from environment to other. You learn from very small to pretend to some extent, and you learn to lie to yourself and to others to hide all your weaknesses, bad feelings and worries. You can't do that all the time, and when they escape you feel quilt and shame because now you are a bad person. God help you are one of those who have strong feelings of what is wrong and right, and are seen as uppity. You will learn your place, or at least to feel guilty of being yourself.

The burden can be small, or like it was in my case, so huge you literally have no idea who you are under all the pretense and lies. All this tangled together will lead to depression. There is pressure from outside to be a certain kind of person, and then there is your own pressure to be accepted and "do well" and be "a good person".

There are no negative feelings, and forced positivity is the worst cancer ever. Forced positivity is like covering shit with ice cream, and telling youself that shit is delicious because you can't see it now. You have to feel all your feelings and listen them. That doesn't mean you have to act those feelings out. If you are angry, you are angry and you need to understand why, but you can't go and hit the person who you are angry at. You can't have temper tantrums or be a nuicanse just because you feel certain way. That behaviour comes from people who are not familiar with their feelings.

This is just one reason, our world is quite compicated place and reasons to feel bad about it are plenty.