Loneliness and depression are two different things. If you are lonely it's quite normal to feel unhappy, but depression is an illness that doesn't necessarily depend on your life situation. Judging from your question I would guess that you are lonely, but not necessarily suffering from clinical depression.

First of all, it may be helpful to think about why you are lonely and what you can do about it. Have you moved to a new area or maybe changed your life situation (through divorce, bereavement, new job etc)? If it's a life change, then probably you need to look at what you can do in your area to make new friends. I know it's typical advice, but it really does work; learning something new, like a foreign language or a new dance, or volunteering to help wilth a charity really does make you feel less lonely. Also you can try friendship-only websites to help you find others living in your area.

If you feel you are suffering from depression, though, this is more serious and you need to seek professional help. You can find out more about symptoms and possible treatment here. Hope this helps.