In so many places in the Bhagavatam and Bhagavad Gita, we read how Krishna and the devotees of Krishna talk about misery of this world. This world they say is a place of miserable condition where happiness is but a mirage. However, when Srila Prabhupada preached like that, many people (east and west alike) disagreed that they were in misery and rather they said they were happy.
So let us try to understand this apparent conundrum little more. Are we or are we not in misery? For that let us try to define what misery means. I would define misery as a condition (mental or physical) a living being is put in that is against the living being’s natural state. So for example if it is too hot then a living being will feel misery because the weather temperature is above the skin’s natural ability to handle. If someone would beat me up more than the body can handle then I would be in misery. These are gross examples. There can also be subtle examples like someone verbally abusing me or someone playing mind games etc etc. So in essence if the natural state is violated then it results in misery.
Therefore when saints from the Vedic culture talk about misery, perhaps we should first understand what our natural state is. Bhagavad Gita clearly explains our natural state. That is - we are eternal spiritual beings who are not subjected to old age, disease or death. This material world, however, is the opposite. We will grow old, diseased and die. This is compared to a fish out of water. No matter how much comfort you provide to the fish, it will die because its natural state is within the water. Similarly, the concept of misery is understood from the perspective that our original identity is spiritual/eternal and that death is but an unnatural albeit miserble condition.
In the interim, between birth and death, we may feel like we are going to live here forever and build our life based on that such as career, family, home etc and feel happy. However, the minute we are faced with our temporary position we will feel miserable. This, unfortunately, is inevitable and those who are wise will seek to find a way to get out of this temporary condition and return back to their original conditon. The Bhagavad Gita recommends that the only way to do that is by taking shelter of the original Personality of Godhead Sri Krishna. Those who have faith in Krishna and also practice the rigor of Krishna consciousness can actually experience the words spoken by Krishna in truth. So all what I have said is not some dogmatic belief system, the philosophy is actually rooted on reality and also tested and proven by people of saintly character for thousands of years. You can also try it. Simply chant Hare Krishna and take shelter of Krishna in earnest.
yad gatva na nivartante tad dhama paramam mama - One who reaches it (Krishna’s abode) never returns to this material world – BG 15.6