Josh Dun discovered that not only was he immortal, but he also had super strength, teleportation powers, and who knows what else. This made everyone fear him as though he were some kind of demon. This eventually drove him to severe depression, and since he can't kill himself, he was more miserable everyday. That's how things were, until the animals give him a purpose; to deliver presents to children from all over the world once a year on a day which we know as Christmas Eve.