Ummm I mean I don't really think it's cocky to not believe in silly fairytales based on fuckall. But sure lets say your magical friend Santa Claus brings you to the North Pole when you die and you get to live with the reindeer and elves eating candy for all eternity... doesn't really change the fact that while you were living in the pre-Santa times you might as well have taken your best shot at being happy.
Not much you "do", really. Went to lots of therapy when I was younger (and a bit more recently)... Fortunately my intellect allows me to combat it a bit with logic after talking it through, ie my natural feeling might be "you are a stupid failure" but then I can kind of remind myself I'm not stupid, failure is subjective, etc.
When I was younger I had depression as most who don't suffer from it imagine it... angsty teen crying, feeling unloved, worthless, etc.
Mid 30s double depression is just... gray. I'm "fine". I love my fiancee, my family, my friends. I just sort of live around a 5 out of 10 and never really go any higher than a 6 or lower than a 4 anymore. I mean the Kings Stanley Cups were two of the best days of my life... now I don't even care about sports anymore. I'm just generally lethargic regardless of how much I sleep, exercise, change diet, etc.
So yeah, it is what it is. Archie kind of nailed it with the cynicism = personality bit. I just try my best to be as positive as I can to combat that and it ends up just leveling out. I'm scared of death. I have no interest in hurting anyone. I'm just like anyone else, doing the best they can. My day to day experience is just a bit more muted.