Whether one manages to create this "purpose" (which is really like just having one all-encompassing goal in life, and that goal satisfying you at a deep/profound level?), or whether one stumbles accross it (eg via intuition & experiences), or whether they don't, doesn't change the fact that it's completely man-made (or you-made) .. that is, it's false/illusory.
And it does for sure make life better. I've had times where i've felt i've had "purpose" (that is, sth underneath the goals i was striving for). Those were the happiest times of my life. And the unhappiest times were when i was without purpose.
Right now, i am without purpose (purpose changes throughout life). But i have goals (mainly just to do the basic household chores, etc). And another goal i suppose is to not be bored (to feel comfortable when i can); that in fact could be classed as "purpose", as it involves every moment of every day; but it just isn't that satisfying a purpose - maybe because it's a double-negative?; maybe i should be focussing more on gaining pleasure (a positive), i dunno. Presently it seems i live to escape (via mainly alcohol numbing my mind/pain); again, if it's a purpose, it's not a very satisfying one (it doesn't solve all my reason-for-living issues).
With depression, i suspect it goes hand-in-hand with having no purpose, from my experience anyway.
I don't want to live either, but i'm too scared to die, so i'm stuck in no man's land.
So, it is a complex issue, and i certainly haven't got all the answers concerning it.