When you desire sinful things and desire to serve Christ, you will be miserable, because when withdraw from your inordinate desires you will be saddened, and when you give into them you will find them empty and burdensome compared to Christ. This is why some Christians are less at peace than some people who do not have Christ. But the realization of this is often what God uses to draw us closer to Him. For the burden of the world is always greater than the easy yoke of Christ.
(This is a thought that was brought home to me while reading Thomas A. Kempis and from experience.)