Philosophically why should proving that $\gamma$ is irrational (let alone transcendental) be so much harder  than proving $\pi$ or $e$ are irrational?
There are number theorists who understand this subject much better than I do. However, I feel obliged to post an incomplete answer quickly before people have a chance to close this question.



There are a lot more connections known between $\pi$ and $e$ and other numbers than between $\gamma$ and other numbers. We can get proofs of their irrationality by using some of these connections, such as continued fraction expansions for both. 

$\gamma$ may be thought of as a renormalized version of $\zeta(1)$, where $\zeta$ is the Riemann zeta function $\zeta(s) = \sum_{n=1}^\infty n^{-s}$.

$$\gamma = \lim_{s\to 1} \bigg(\zeta(s) - \frac{1}{s-1} \bigg)$$

At even integers, $\zeta(s)$ may be rewritten as a sum over nonzero integers, not just the positive integers. That's one explanation for why it is easier to get a handle on $\zeta(s)$ at even values (where it is a rational times $\pi^s$) than at positive odd integer values. See the answers to "Establishing zeta(3) as a definite integral and its computation." 

There is some hope. Apéry proved that $\zeta(3)$ is irrational, and this can be related to proofs that other well known numbers are irrational. There are expressions for $\pi$, $\log 2$, $\zeta(3)$ as periods, definite integrals of algebraic functions on $[0,1]$. These can be used in a unified way to prove all of these are irrational (although it's still tricky for $\zeta(3)$), and there are conjectures about the possible rational or algebraic relations between periods. However, so far, $\gamma$ isn't known to be a period although it is an exponential period (as is $e$). No other values of $\zeta$ at positive odd integers are individually known to be irrational. 
