The fact that I can travel and still feel depressed. Not having a job takes off stress but it doesn't change your brain. If your brain creates feelings or worthlessness and constant sadness, anxiety etc. then it can never be escaped.
Well, this is all still relatively new, isn't it? And I guess it is just going to take a while, after all these years of a conventional life, for your brain to unwind, get into a different "mode". Plus, I can imagine all these new impressions, the new challenges you face, also take a while to get used to.
I am sure it will get better over time - an entire life can't just be undone and forgotten like that. Also, the more you keep travelling, the more people you meet, the easier it will probably get to engage with them and don't mind so much if you don't quiet "get" them at first.
It's a great thing you are doing, I am keeping my fingers crossed for many great experiences to come you way, just don't pressure yourself too much.