I think it's like when you're breathing manually. You can but it's just not the same. I always feel out of breath when I do it. Or when you start to pay attention to how you walk and simply can't do it normally, unlike when you don't even think about it. Mindfulness is misunderstood in my opinion. Everything that can be done properly automatically, should be done so.
As someone who was (in my opinion wrongly) labeled gifted as a kid, I think this is because it comes with very high expectations and forces you to think about yourself and your actions all the time. Depression is basically self obsession. Life is only good when you forget about yourself. This is the same reason why social media drives depression as well.