And that is part of Tony's depression. He is far more intelligent than his associates. He went to college for a while, and had plenty of smarts and ability to make a good living as a legitimate business man.
He did a little pro forma crying to Dr. Melfi about how anti-Italian discrimination caused him to turn out the way he did, but he knows deep down inside that he choose to be a gangster. He choose to associate with lowlifes like Sil, psychos like Paulie, druggies like Chris, half-wits like, well take your pick.
Tony realizes that he made a bad choice, but he doesn't see anyway out of his current life, except death or prison.
Well said.