There is a long tradition in philosophy of blaming passions for our unhappiness. If only we were more rational, it is claimed, we would live happier lives. I argue that such optimism is misguided and that, paradoxically, people with desires, like us, cannot be both happy and rational. More precisely, if someone rational has desires he will not be fully happy, and if he has some desires that are rational and – in a yet-to-be-specified sense – demanding, he will be frankly unhappy. Call this claim Rational Pessimism. The argument for Rational Pessimism can be considered as a variation on a Schopenhauerian argument that bluntly claims that, because desires involve lack and suffering, desiring souls like us cannot be happy. I argue that, even if Schopenhauer’s argument escapes most attacks that have been targeted against it, it faces decisive empirical objections. I argue that Schopenhauer’s argument can, however, be rescued if it is assumed that we are rational.