I feel sad because I feel that I have some major health problem. If somehow I knew that I didn't have anything and all my problems stopped then I believe I'd feel better.

I don't talk to other doctors about being sad or not enjoying life or thinking about my health problems all the time. I am too shy to talk about that.

But that is exactly the thing you need to be talking about with them. You likely have some psychological things that can be addressed through therapy or with a psychiatrist, while also looking for the biological causes (if any). There is no shame in getting help.