I get what you're saying but there's a different question to be asked here. But first let me say this, I don't think atheism or an Atheist are doomed to be depressed or even that their worldview must cause a worthless sense of self existence. A poster brought up a good point in this thread, people can find happiness, self worth and piece of mind finding their own purpose in this physical plane without the need for transcendental beliefs or aspirations. They can find that in family units, passions, hobbies, careers, romance ect ect...the term "purpose" in this sense is simply subjective.
You're targeting more or less personality types I believe, and this happens to be an independent issue of personal beliefs or worldviews meaning atheists, agnostics or even theists can posses the attributes you express in the OP. It's not just an issue specific to atheists. An atheistic worldview can cause depression as in your case of course, but it reflects more on personality type not necessarily the belief in and of itself, more of the person reflecting on those beliefs. It might not bother an atheist at all that there is no true transcendent purpose to life or themselves and they may not even dwell on that period. Their "purpose" would be what they make of it rather than something that must be fulfilled.
The question then becomes.... is the physical experience all that exists? does a soul really exist independent of the physical body? the question in my mind anyways is very significant because the evidence for spiritual/transcendent experience is remarkably abundant. As well the evidence that a soul survives a physical death is almost unanimous looking at the evidence that corresponds with that nature. At minimum, one should be considering the question and looking very intently at it.
If it's true that there indeed exists a transcendent reality then what we have is at least two distinct experiences. And because of this a person can partake in two distinct experiences, and even only one of the two experiences. So a person can find contentment (depending on who they are) in only one of those experiences. The discontentment then should only arise as a person begins to question the immediate reality that they experience and its limits, and what would be the ramifications/implications of a Creator and a parallel universe, is there good reason/evidence to consider that it could be true?
Now coming from a Theist, a person is created with a soul and then placed within a physical form/body. And since the soul exists independent of the physical body the souls origins exist with the Creator. So partaking in only the experience of the physical world the soul is doing an extreme injustice to itself not knowing the full scope of what exists and the implications thereof. Partaking of the physical experience alone is very limiting to ones conditioning and growth and so there is a level of concern.
So while a person can, and is free to find purpose in only the experience of the physical world they miss out on the better quality of their true self and purpose. At least in this life anyways, because even though they limited themselves and their purpose to the physical world they will leave the physical body at some point anyways. At that moment they will see for themselves that the soul truly does exist independent of the physical body, the question becomes then....what are the ramifications of indulging in only the physical world and its pleasures? and in that moment it will be too late to reflect on that.
So really it's just a matter of individual growth and experience not the mental state of the individual. In my eyes, there is some good things that can come of growing weary of the physical experience and questioning ones self worth or purpose. Because if one is truly a truth seeker they should be considering what I wrote above and taking it seriously. The soul will always ponder and be curious about its limited physical observations because in reality the true nature and origins of the soul are hidden with the Creator. And because of that the soul will never find full contentment with anything within the physical plane, at some point it will need more and want more (maybe even cause depression). The physical experience is very restrictive and only serves to satisfy the carnal nature of man, but it only panders to one limited level not the full scope of mans potential.
IMO a soul who finds contentment in only the physical experience is a soul who is also immature and that's not meant to insult anyone, it's just that once the soul wakes up from the illusion that this world is all its made up of it will begin to reach for more out of life. Until that moment however there's not much that a soul can do in terms of having greater observations. The soul must learn for itself the limitations and disappointments of the carnal world, then it will have the urge to seek out more.