Firstly, you are not alone in having depression and certainly not alone in having crap relationship skills. That doesn't mean that your life is worthless: it is often the case that social awkwardness is accompanied by unusual mental abilities or creativity.
Let's take the depression first. Depression can start for many reasons: quite often these fall into 2 categories: genetic inheritance, and bad diet.
There are medications one can take for genetically inherited neurological imbalances, and if you have inherited depressive tendencies, those may work for you.
Diet/allergy induced depression: The brain is at the mercy of gut bacteria (believe it or not), and a diet rich in refined sugars has been shown to cause bacteria in the gut to fight each other by producing toxins. These toxins have been linked with depression and mood swings. If you have a food allergy in the background (such as gluten allergy or Lactose intolerance), or if you have IBS or some other bowel condition, the bacteria in your gut maybe producing more toxins than is healthy. Those toxins get absorbed through the gut wall and into the blood stream where they have systemic effects on both the brain and body. Often by modulating diet, it is possible to reduce depression/fantasies etc.
However, after the brain has been depressed for many months, a change occurs. Brain cells (neurons) get altered: their DNA gets tagged with a methyl group in various places within the nucleus of your neurons (DNA methylation). This has the effect of maintaining the gene expression patterns symptomatic of depression (for the long-term). For a long time, doctors could do little to reverse this DNA methylation; however, the good news for you is that a treatment is possible to break your mind out of the depression. The treatment available is called Ketamine. Recent research shows that it reverses the DNA methylation in neurons, breaking the continual depression. I would suggest you look into this as a start (
http://www.bbc.co.uk/news/health-26647738).
There are other treatments you can access that might complement the ketamine treatment, and help keep you from falling into depression again: e.g., CBT.
Relationship skills and social awkwardness fall into the category of Autism spectrum disorders. That's scientific jargon for those whose mental processes work a little differently than the average human being. It would be worth taking some test for Autism i.e., for Aspergers syndrome to ascertain if you have some traits which might be under pinning your social issues. Knowing about such traits is the first step to developing coping strategies that can be very successful in helping you form social relationships.
Last but not least, we turn to romantic relationships. Learning about relationship psychology might help you develop understanding and skills that would be valuable to you. I suggest you try: How to succeed with Men---Ron Louis and David Copeland (assuming you're heterosexual, if not, they do a book for relating with women too). These books will give you a better understanding of the reality of relationships, and a pragmatic approach to developing confidence gradually.
I think you have lots of potential once you relax and focus on dealing with each issue in turn. I can tell you that many people wait allot longer than 18 years old to tackle their social problems and depression issues. You are already ahead in sharing your problems and seeking a way forward.
I want to impress upon you the importance of dealing with the physical (neuro-physiological) issues caused by your long-term depression. Seeking treatment ---e.g., ketamine---would vastly improve matters for you, specifically if the DNA in your brain cells have become hyper-methylated