Rabbi Yeruchem Levovitz used to say that studying mussar (ethical writings) properly does not prevent one from being happy. Just the opposite, the proper study of mussar speaks to the soul. A person begins to identify with his soul and acquires a greater awareness of his Creator. He becomes enlightened, which brings true joy.
Sadness comes from not being satisfied with your present level of behavior, but still not wanting to work on improving. When someone sincerely strives to improve himself, he will feel joy.
(Ma'archai Laiv, p.196; Rabbi Pliskin's Gateway to Happiness, p.223)
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