I self-medicate and feel like i'd be wasting my time at a therapist. Is this a bad idea?

Quick background.

-I had an existential crisis at 16, I was under the impression I would feel better as I grew older and gained independence. -saw a therapist in college, she told me "intelligent people have a hard time accepting happiness" She ruled out depression because I don't lose sleep or have fits of crying. -I'm currently living with my fiance, were very happy together, theres no issue outside of myself really.

but, here's the rub (and tell me if you feel me on this)

for no reason, at random times, I find myself wishing I didn't exist. I've never been formally diagnosed with depression, and i should mention I saw that therapist once and have never seen anyone else. I smoke weed every night to fall asleep and friends have said that is self-medicating. Sometimes its just a dull, prolonged sadness. It's as if my mind can't stop finding reasons to hate itself, or me, in this case.

So, I guess the question is, is this depression? or is what I'm experiencing typical for everyone?