[T]he very existence of the New Testament Epistles shows us that unhappiness is a condition which does afflict Christian people. There is in this, therefore, a strange kind of comfort which is nevertheless very real. If anyone reading my words is in trouble, let me say this: The fact that you are unhappy or troubled is no indication that you are not a Christian; indeed, I would go further and say that if you have never had any trouble in your Christian life I should very much doubt whether you are a Christian at all. There is such a thing as false peace, there is such a thing as believing delusions. The whole of the New Testament and the history of the Church throughout the centuries bear eloquent testimony to the fact that this is a ‘fight of faith’, and not to have any troubles in your soul is, therefore, far from being a good sign. It is, indeed, a serious sign that there is something radically wrong, and there is a very good reason for saying that. For from the moment we become Christians we become the special objects of the attention of the devil. As he besieged and attacked our Lord, so does he besiege and attack all the Lord’s people, ‘Count it all joy’, says James, ‘when you meet trials of various kinds’. That is the way your faith is proved, for not only is it a test of your faith, in a sense it is a proof that you have faith.
-Martyn Lloyd-Jones, Spiritual Depression: Its Causes and Cure, “That One Sin”