About three or four years ago I was contemplating it. Not really if I would do it, but how, why, the results of it, etc. I was kind of depressed around that time, after going to a new school and being alienated there, although it's kind of my fault for being such an annoying dick. It was mostly self-esteem issues, not having many good friends, all of that good stuff, partially as a result of my attitude, but partially because of other people's arbitrary decisions. I thought I was worthless and could not do anything about it.
Eventually, after realizing I was the only one telling myself the above, I got into music, which boosted my self-esteem a little, as well as bettering my attitude, and that got that thought off of my mind.
Then, this year I started doing debate as an after school activity and gained a lot of self-esteem, further burying those negative thoughts, because I put work into it and I could see the fruits of my labor actually being tangible, with people complimenting me on my skills, myself getting trophies (I hate to brag, and I was cringing while I wrote that, but I needed an example to make my point), and my labor being educational along the way. Also, as just a more specific nuance of debate, I used to have speech problems, a lisp and generally nonclarity while speaking, and while special classes during school could not help me, debate made me much clearer in speaking terms.
While I agree with all of the advice here, to resolve your issues, I would say: Find something that you love doing and that has a fufilling end result. Not only will you meet new people which is a benefit in itself, and take whatever skill you learn from that activity with you for life, but then, work your hardest at it, see what happens, and enjoy the end result, with the thought in mind that it was you who created that fufilling end result, whether it be a feeling of general goodness after helping people out with community service, or getting awarded for what you do with sports or someething, etc. It makes you feel alive and valuable, and obviously gets rid of self-esteem issues that at the heart of many depressions. Although what I went through is probably not as bad as what you might be going through, this certainly helps.