write an angry letter to whatever is making you depressed but don't send it.
you could join a gym. there are affordable one's out there. try to avoid national gyms like xSport or Lifetime, as the tend to be the most expensive. I live in the Chicago area, and the gym I go to is called ZipFitness and costs $13/month, but it only has cardio and strength machines, and a tanning bed. no amenities like a pool, day care, smoothie bar, etc. so if a gym has those extra items, it will be more expensive to help cover the cost.
working out will make you feel better and help you get in shape. it won't be overnight, or even a month to get into shape, but possibly a year+. if you create a schedule, and stick to it, along with a healthy diet plan, you should see results.
are you in school? do you belong to any clubs or groups? talk to a counselor to see what your school offers and ask to join something that has your interest, whether it's music, sports, computers, graphic design, art, theater, anything. see if your school offers it and try it for a couple months. you'll have the opportunity to make more friends there, and it should be easier since you have the same interest to talk about and work together.
are you done with school and need a job? look at local temp agencies. now that school is starting again across the country, kids will be leaving their summer jobs and companies will be looking to fill those positions.
if you want to learn a new skill for work, have you considered the military? there are non combat jobs that you could learn like IT, health care, administrative, business, logistics, auto maintenance, security, intel, and more. the military will pay to train you and help you earn experience for at least 4-6 years. that's the length of your first contract depending on your job. during your service, you'll have the opportunity to travel to various bases around the world, and gain further education with the GI BIll.
start by browsing the branches websites to see what they offer and if you qualify. you can get a good idea if you do or not from the website, you need to be at least 18 / have a high school diploma (or a GED / college credits), and be medically and legally cleared by a recruiter / meps doctor. even if you're unsure if you qualify or not, see a recruiter anyway, they may grant waivers based on a case by case basis.
there are many reasons people enlist in the military, some for family history, to use the education opportunities, or to learn a new skill. as long as you can do the job, they will be interested in you. it doesn't need to be a career if you want, but your first contract is four to six years as i stated previously based on your job.
good luck.
Know that God loves you very much. You can find comfort in that. Also, maybe start going to church, if you don't already. You can surround yourself with positive people. I think you probably need love in your life. Which, we all do, to some extent. There are a few things that help with major depression. However, it's not clear whether you have the disorder actually. So, just turn to God for comfort. If you tell him you need him , he will certainly hear you. I know what depression feels like. Get a Bible and start reading it. God speaks to us through it, among other ways.