Am I mad??
I am an engineering student who after coming to college is felling very depressed. The main reason is that I see many exceptionally talented individuals out here who are just 19 or 20. For instance, a guy in my college owns a music company and earns in millions and he is the same age as I am!!

But that is not what my problem is... these talented guys have one thing in common. They have faced hardships early on in their lives. Someone lost his mother at the age of 16 or someone was abused by her parents early on etc etc... Lately I have been having dreams of my family members being killed or my beloved ones being hurt. I feel that if something happens to my beloved ones I will face hardships I will face difficulties and eventually succeed in my life.

AM I MAD DO I NEED A PSYCHIATRIST??

No, you aren't crazy, you just need to relax and focus on your reality, and work hard to learn and be successful. Not emulate some one else's.

Engineering is basically the art of taking actions today that will produce an outcome which you desire at some point in the future. Maybe you are taking your engineering studies a little too far.
Yes, you need to see at minimum your family Dr. or maybe the school clinic, to discuss the depression and get treatment for that, and the Dr. will determine if more help is needed.
I have many successful friends who had normal upbringing. A more common trait that you will find among your successful peers is good attitude and perseverance.
Be honest with your Dr./P.A./C.R.N.P. or those in charge of the clinic and tell them about the issues you raised here.

Just how many fit this description? I'll answer it - not nearly as many as you think. Most of your fellow students are just like you.
I went to a top school and was overwhelmed with the work load and the knowledge of the others. Every time I looked out my window, people were having fun, while I studied. It seemed like they never had to study. That wasn't true, of course. I was depressed too.
It is slightly neurotic of you to worry about your family coming to harm just so that you will fit the description of what YOU THINK is required to be a successful person. It's just not so - mostly it's people with happy childhoods and good parents who succeed. You have heard from a few exceptions. How scientific is that? Not at all. If you don't believe me, go to the psych or sociology dept and ask one of the professors. You hear the stories of the people who have problems; not the ones who don't. And the fact that you are anxious about your studies just draws more of those people to you, so you are a magnet for them.
If you can't understand this and incorporate it into your mindset, then you need some therapy.