Sometimes people try to make them feel better with the "count your blessings" approach. This usually makes them feel worse, because now they don't deserve to be depressed since they have so much going for them.
In cognitive-behavior therapy (CBT), therapists challenge irrational beliefs as a way to help clients see that their depression isn't logical. Sometimes this works. But sometimes they know their depression isn't logical, and pointing this out makes them feel even more ashamed for not being able to control their feelings.
For clients with the "no good reason" problem, I have found that the most useful strategy is to debunk their myths about feelings. Since you probably believe these myths, too, I thought I would go through my whole therapy spiel.
1. Feelings don't have to be rational. That's why philosophers make such a big deal about distinguishing reason from emotion. Sometimes they coincide, and it feels better when they do. It feels better when we can say I'm sad because I'm sick of winter versus I'm sad and I have no idea why. But we don't have to know the reason why for our feelings to be valid.
2. There is no right or wrong way to feel. We have a lot of implicit rules for what we should be feeling in a given situation. Take my Ph.D. example in my post on self-worth. I thought I would feel ecstatic after defending my dissertation. Instead I got depressed. Positive events don't always lead to positive feelings.
3. We can experience positive and negative feelings at once. Researchers say that we can't do this, but I think they're wrong for reasons that are too complex to explain in this blog. But I'll give you an example to prove that I'm right. People cry at weddings because they are both happy and sad at the same time.
4. Your feelings aren't your fault. We like to believe that we have more control over our feelings than we actually do because...well, because it makes us feel more in control. But this illusion comes at a cost. Which is why I wrote the posts on blame and free will. You didn't choose to be depressed, and it's not your fault that you can't stop the depression.
5. If you try to make yourself stop feeling, you'll just make things worse. Because this will involve some level of deception, like denying or suppressing or minimizing your feelings. And at some point, this will blow up in your face when you least expect it. Plus it will make you less empathic when other people tell you how they feel, which will lead to relationship problems.
Although I can write logically about these myths, I still fall prey to them, because feelings aren't always logical. Knowing isn't enough to solve the problem; you still have to practice. Which is why I practice mindfulness and self-acceptance. And I encourage you to do the same.
So the next time you catch yourself saying that you have no good reason for your feelings, remind yourself that you don't need one.