It has more than one meaning:
blessed (adj.)
late 12c., "supremely happy," also "consecrated, holy" (c. 1200), past-participle adjective from bless (v.). Reversed or ironic sense of "cursed, damned" is recorded from 1806. Related: Blessedly; blessedness.
1
blessed (adj.)highly favored or fortunate (as e.g. by divine grace);
2
blessed (adj.)
Roman Catholic; proclaimed one of the blessed and thus worthy of veneration
3
blessed (adj.)
characterized by happiness and good fortune
4
blessed (adj.)
enjoying the bliss of heaven; worthy of worship
So, for me, when I say I am blessed it means I am "supremely happy and fortunate to be at peace within my soul.
Stay blessed everyone!