It might be that general happiness is influenced largely by genetic factors, and not as much by contextual ones.

One could assume that higher intelligence gives you more power to shape your context — but that doesn’t help much if context itself doesn’t play a major role in determining general happiness.

The depressed person was probably born with a bias toward depression, and the happy person with a bias toward happiness. The interesting question then becomes: what mediates the path from genes to happiness? It’s unlikely to only be as simple as “gene → happy.” There are probably several layers of causality in between — psychological, neurochemical, societal, and environmental mechanisms that shape how those genetic tendencies play out.