I'm surprised that you bought without asking about the sizes, actually. With that style of clothing I've found that "medium" usually fits an average-sized stripper, not an average-sized woman in general. And yes, Chinese people are much smaller so their sizes reflect that. With either or both factors in play I wouldn't expect the sizes to match up with the ones you'd find on Western high streets.
And anyway, of course you shouldn't get depressed if whatever size doesn't fit you. If you like your body it doesn't matter what labels are on your clothes.