INFPs tend toward depression and it’s not really a big mystery as to why.
It’s about making choices and decisions. I think that’s why INFPs who are extreme Ps are more depressed more often than INFPs who border the J preference. A very clear P preference tends to signal an active Extroverted Intuition (Ne) function which keeps imagining a better life than the one we have. A well-developed Extroverted Thinking (Te) function which moves us towards the J preference balances the Ne idealization by helping us organize, plan and carry out our dreams.
A main cause for unhappiness is that I don’t think INFPs can define “happy” in measurable terms. Happiness is some vague ideal like Truth. It’s the overactive Ne mental function that keeps changing our definitions of happy. It’s hard to achieve a goal that can’t be defined. However, I do feel that most INFPs grow out of that phase as we get older and our Te function gets more developed. Our definitions for happiness become more concrete because we realize we’re running out of time. Unfortunately, the goals we finally set for happiness tend towards unrealistic which starts effecting self-worth.