It's mostly just conditioning. Major sounds happy and minor sounds sad to you, because that's the association you've heard again thousands of times over your whole lifetime listening to (I'm guessing) typical Western music.

But that association isn't universal at all! There are whole non-western musical traditions (eg Jewish, Balkan, Eastern European) where a ton of it is minor but not sad. Think of like Hava Nagila - that's 100% minor key and it's a party song sung at weddings that literally translates to "Let's Celebrate".

Heck, even in popular Western music there are plenty of examples of dark songs in a major key (Pumped up Kicks, Boy in the Bubble...) and happy songs in a minor key (Yeah - Usher; SexyBack - Timberlake; Just Dance - Lady Gaga...).

Basically, if you grew up listening to typical Western music, your brain assumes major = happy and minor = sad because based on your previous experience that's more likely true than the reverse. But there are many exceptions in Western music, and other non-Western types of music where it's not a good assumption to begin with.