"Desire is a subtle form of conditioning for the living entity. The Lord fulfills his desire as he deserves: Man proposes and God disposes. The individual is not, therefore, omnipotent in fulfilling his desires. The Lord, however, can fulfill all desires, and the Lord, being neutral to everyone, does not interfere with the desires of the minute independent living entities. However, when one desires Krsna, the Lord takes special care and encourages one to desire in such a way that one can attain to Him and be eternally happy."
Bhagavad-gita 5:15 Purport
As living entities, we all want enjoyment. We do not want to simply exist, we want to experience pleasure. The true nature of the soul is sat-cit-ananda - the soul is always desiring eternity (sat), knowledge (cit), and bliss (ananda). However, the faculty of being the enjoyer is the prerogative of the Vishnu-tattva, and the jiva-tattvas are only able to satisfy their enjoying propensity by satisfying the Vishnu-tattva. For example, the fingers can only receive nourishment from the body proper; while the fingers can pick-up the food, they are not able to consume or digest it independently. Similarly, the jivatmas are not capable of being autonomous enjoyers. They can enjoy only by virtue of their connection to the Supreme Enjoyer.
When the living entity wants to enjoy independently, without Krsna, he is put into the material world, where he begins his life as Brahma and is gradually degraded to the status of an ant or a worm in stool. There is a great struggle for existence because the conditioned soul comes under material nature's control. Due to his limited knowledge, the living entity thinks he is enjoying in this material world. While he is actually under the full control of material nature, he still thinks himself independent. Even when he is elevated by speculative knowledge and merges into the impersonal Brahman, he falls again to the material world. In this way, the fallen conditioned souls struggle for existence in the material world. Out of compassion, the Lord periodically appears in this world and instructs the fallen conditioned souls on the science of Krsna Consciousness, so that they might escape their material bondage and go back to Godhead.
The Senses and the Bodily Conception
Due to their material conditioning, the jivas are constantly struggling with the six senses (sight, hearing, smell, taste, touch and mind). When the conditioned living entity seeks pleasure through the senses he is always frustrated by his material desires. Becoming attached to material pleasures derived through the senses, the living entity develops a bodily conception, falsely thinking "I am this body". He becomes attached to seeking pleasure through the body. The body, however, is a nonpermanent material thing, and the sensory pleasures caused by the body are temporary.
The body undergoes six changes, all of which cause the living entity suffering: the body is born, it grows, it stays, it produces by-products, it begins to decay, and at last it vanishes. The body is perishable, full of ignorance and completely miserable, and the living entity cannot derive more than fleeting pleasure from it. Those who are attached to the bodily conception are so materially absorbed that it is almost impossible for them to understand that there is a transcendental body which is imperishable, full of knowledge and eternally blissful.
Until the living entity becomes able to control the senses, he will constantly suffer as a result of them. As Krsna explained to Arjuna in Bhagavad-gita, "O son of Kunti, the nonpermanent appearance of happiness and distress, and their disappearance in due course, are like the appearance and disappearance of winter and summer seasons. They arise from sense perception, O scion of Bharata, and one must learn to tolerate them without being disturbed."
Acting Under the Modes of Nature
"The living entity, because he is transcendental, has nothing to do with this material nature. Still, because he has become conditioned by the material world, he is acting under the spell of the three modes of material nature. Because living entities have different kinds of bodies, in terms of the different aspects of nature, they are induced to act according to that nature. This is the cause of the varieties of happiness and distress.
Bhagavad-gita 14:5 Purport
There are three gunas, or modes of nature, namely: sattva (goodness), rajas (passion), and tamas (ignorance). At all times, the conditioned soul is acting under the modes of nature. Being conditioned to seek sense gratification under these modes, he is frustrated accordingly.
In the mode of ignorance, the conditioned soul is in darkness. He appears to be helpless and dejected, and is addicted to intoxicants and sleeping. A living entity absorbed in the mode of passion is always hankering after sense gratification, and is actively engaged in fruitive work, sex activity and trying to get money. An entity in the mode of goodness is happier and wiser than those otherwise conditioned, because he is more or less free from sinful reactions. However, even those acting under the mode of goodness are still suffering because they are conditioned by the concept of happiness.
Because the conditioned soul cannot stop acting, not even for a moment, he is always acting under the modes of nature. Bewildered by the illusory nature of the material world, everything the living entity experiences is but a perverted reflection of the spiritual world. The science of Krsna Consciousness teaches that the living entity cannot escape his suffering by not acting, but must instead transform his material activities into devotional activities. These purified activities, called bhakti, result in a higher taste for transcendental pleasures. As this higher taste is steadily increased, the conditioned soul realizes that sense gratification is far less pleasurable than the pleasure derived by acting in the mood of devotional service to the Lord.
Bhaktivedanta Book Trust. Excerpted from various sources, including text and purport of HDG A.C. Bhaktivedanta Swami Srila Prabhupada.