Making up your mind to change is the first obstacle so you have started on the path! In terms of a non-scary way to find people to do things with, I would suggest looking up organizations or groups in your locale that cater to your interests. I am a member of my local Jaycees chapter. Our chapter focuses mainly on community service and social opportunities; however, other chapters may focus more on business or personal developement opportunities. There may be a mountain-biking club, a role-playing group, a writers circle, or any number of other possibile groups in your area. You can usually get an idea of what is out there by inquiring of your local city or county government.
Becoming involved with such a group would allow you to do something you enjoy, while also introducing you to new people. But, that is just one aspect of coming through this. I know you can find a lot about how to work with Depression from a cleansing and diet perspective here on Curezone. In addition to that, I have provided a link to a page dedicated to 'self-esteem' links.