Living Pokemon are miserable, but there is something truly horrifying about Ghost-type Pokemon. Their very existence seems to indicate that there is no afterlife in the Pokemon universe spirits are left to eternally wander the planes of the living, stuck doing battle with them even after death. None of the Ghost-type Pokemon seem to have particularly painful afterlives, but many such as Yamask (who carries its own face as a mask and cries whenever it sees itself) are clearly wracked with emotional turmoil and regret. And, worst of all, there is no hope of it ending, since they've already died.
Arceus supposedly created the world making it the closest thing to an "all-powerful god" that exists in the universe of Pokemon. And there's nothing about it's life that's particularly "miserable" it's powerful, majestic, and likely immortal. However, it like all Pokemon can be captured by a trainer. Going from "god of all creation" to "some kid's HM slave" seems like it would throw anyone into a pretty severe depression.