I used to be very depressed and now I'm a whole lot better. I just come to this site because I feel I can help people and every now and then I'm lonely :p
Every time I tell someone this they tell me I'm wrong, but here goes.
The reasons you think are you depressed are not actually the real reasons. When you're depressed you care about all the pain in the world, violence, annoying political things, whether life has a purpose and so on. When you're happy none of these things matter. Someone who is happy isn't happy because they don't care about these things, have their own answers or are okay with them but because they have the other things they need in life. So don't make the mistake I made and many others by thinking they really matter.
What you need to do is to find and fulfill the things that make you happy. In your case it's friends and belonging. Believe me I've been there where it feels like there's no one in the world you can talk to or want to talk to. The difficult part of the situation is that your lack of belonging/friends makes you depressed and it's extremely hard to make friends while you're depressed. I mean no one wants to hear you talk about how awful you think your life and the world is.
You'll probably have to overcome whatever barriers are stopping you from making friends. If you have no hobbies and nothing to talk about you'll have to get some. If you have things to say but are just too shy there are programs and stuff that will help you overcome shyness (or you can do it by yourself slowly). If you have no means of meeting people you'll have to join a club. If you're too judgmental to like anyone you'll have to stop being critical of others and accept that you need them. And so on.
Personally, the thing I did was take a job that was extremely mentally and physically difficult. When you're concerned about a lot of painful external things you really don't have time to be depressed. It's easy to make friends when you have to talk about things that save your butt from suffering. It can really ground you back to earth, plus you have a whole new group of people around you that laugh at suffering for a living. I'm not suggesting you do this, just sharing my thoughts.
Anyways, depression is something you have to fight. When those thoughts enter your brain you have to stop thinking them and distract yourself. You're unemployed and that's definitely a major source of your depression. When you have nothing to talk about, no one to talk to and nothing to do you are DEFINITELY going to be depressed. So go out there and find stuff to do. Maybe the first time you find something to do you'll regret it and it won't work out well but KEEP TRYING. You'll start to learn the things you're good at, the things you like doing and will eventually find yourself enjoying yourself.
You don't enjoy the things most people do because you're depressed. Everything sucks when you're depressed. Find the things you need in your life, get better and you'll start to realize a lot of things that people do you enjoy doing as well. Depression is a cycle like that -- things suck because you're depressed and you're depressed because you like nothing. You have to keep trying things and pushing every aspect of your life for the better and eventually you'll start making progress and the cycle will get better and better.
I've been where you are and I know you can get out.
Goodluck