In fact, winning can make it worse. When you're successful and depressed, the dissonance between your outward success and your inner self loathing/misery can be very painful. You think, all these great things are happening and I still can't be happy. I must really be a worthless, ungrateful piece of shit if I attain everything I ever dreamed of and that's still not enough for me. If this doesn't make me happy, that means I'll never be happy. bla bla bla depression talk.

Not that this is guaranteed, but I've experienced it and I would imagine others have too.