Dysthymia: First, diagnostically, what you're describing by your first statement about always being unhappy is a condition called dysthymia, in which one has been, most of the time, exhibiting low-grade symptoms of depression. You may have physical disturbances (sleeping, eating) and your mood is depressed (negative, hopeless, unhappy), but you are able to function to a degree that during a major depressive episode you cannot. However, the "funk" is still relatively unremitting (you have few breaks in the emotional overcast) and has lasted for years, at least. You can have spikes of disabling (major) depression during these (diagnostically, this must be after the first 2 years of feeling dysthymic, and there's has to be no history of bi-polar disorder), but the low-grade mood remains the fall-back.
Second, it totally makes sense that you wouldn't want to be dysthymic! As far as I can tell, every human being I've ever met has wanted to be happy; everyone wants to come out of suffering, and this kind of chronic gray sky is pretty much the direct opposite of happiness.
Language and Mood: However, it's also true that we humans participate in our own suffering, and make choices which mistakenly pull us further into the pain.
So first of all, I want to point out a couple ways you might be doing this. And in saying this, it's important to note that there is no shaming or blaming intended, as these "zigs when should have zags" are just embedded in the human condition. It's not you, or me, it's just human to not see the whole picture (the Buddha simply called this "ignorance") and act with intentions that are not borne out in results. It's important to know how we, as individuals do this, but what we're doing is just our particular take on a universal pattern.
So: in your question, you say, "I have always been unhappy," and this is where we need to look at language and how important it is in guiding attention and shaping mood. When you make this statement--and you are probably making it, in some form or guise, repeatedly throughout the day-you are constructing a model of your life which then your mind reacts to. The strange fact of the human mind is that we do not respond to "reality" per se, we respond to the mind's construction of reality. (And we don't have to be esoteric about this at all. Consider this classic example: you're walking down a hiking trail, and see a thick snake sunning on the path. Your heart rate increases, you attention narrows, adrenaline flows...and then the light shifts and you see it's a branch. Your system calms, you laugh, danger averted. The "reality" did not change-the snake did not become a stick-but rather your perception/interpretation of the existing reality changed.)
So when you use the word "always," that might actually be simply true in describing an aspect of your emotional state or experience. The "emotional brain," that aspect of the grey matter that processes and registers emotions, often doesn't connect up with the left-brain function of the coding of time, and therefore in strong emotion there's often a quality of timelessness, "always been, always will be."
But here the language reinforces that emotional state rather than "contextualizes it." See how it feels if you say, "I have experienced unhappiness throughout my life. It's not all I've experienced though, and even in a single day, if I look closely, I'm not always unhappy." And notice that this is neither Pollyanna nor particular clever. Actually, factually, observationally, it's simply true that not every one of your moments of life are characterizable as unhappy. That's fact. But more importantly, seeing a more nuanced and accurate picture of one's life changes one's mood, from a trapped, powerless, and despairing state, to one more reality centered and therefore--even if your situation is very challenging--more workable.
So that's the cautionary note about using language, that aspect of the mind that has so much to do with crafting, shaping, and defining our model of reality, and therefore the "world" we live in and respond/react to. A couple words can, emotionally, turn a stick into a snake, and our gloriously straight-forward brains then kind of shrug, and say, "Well, if you say so," and take it from there. The power of language for the modern human cannot be easily overestimated.
Experimenting with Language: Experiment with this. If you say, "I'm always unhappy," follow it up with, "Ok, but is that true?" (Byron Katie has made a whole practice centering on just this question, and has published several books on her method.) And then try different ways of describing your reality, and feel the effects on your mood. Up, down, no change? Which explanation feels better? Which worse? And listen to your body, because like a child at a buffet, it is pretty direct and unapologetic about what it likes and doesn't like, including in relation to language. Give it a try.
(As I said, next month I'll take up the second part of this question, why "trying to figure it out," in relation to chronic unhappiness, doesn't work. Stay tuned.)