It's possible to be depressed and not know it, but it's probably not possible to be depressed and think nothing is wrong. You can misidentify it; but by definition, depression isn't a pleasant experience. Depression can be misidentified as problems with anger, physical illness, loneliness or poor self-esteem, concentration/attention and learning, motivation ("laziness"), alcoholism/drug abuse, and many others. But most people who are depressed are aware of it--to the point that the question, "Are you depressed?" can be used as a reasonably reliable screening tool.