I always had that lonely feeling when I was IN the organization. I was never in the "cool club" and while the big families got together in the congregation and had lots of fun, my wife and I sat alone week in and week out with no friends. For us getting out of the organization has opened up a whole new world of friends and we're making new family, so to speak. I definitely had depression in the Borg and suicidal thoughts. All of that went away when I got out. It is funny how we all have such similar but different experiences.
It sounds like you need some friends. Our getting out just happened to coincide with what we deemed as our "year of adventure". We pushed ourselves to get out and go to sporting events, new restaurants, concerts, new places to hike, just all kinds of exploration. It really helped us feel alive again after so many years of feeling dead in the Borg. That was step 1.
Step 2 was reaching out and being vulnerable and trying to make new friends. We happened to have lots of great clients in our cleaning business that we saw regularly and talked with when we came to clean. We reached out to them as friends on Facebook and followed their lives and let them see ours. We were open and honest about our path out of the religion and how hard it was, including the shunning. People rallied around us, and we invited them to do things with us and they did the same.
Do you maybe have people that you work with or know in some capacity that you could reach out to? I know that it is hard to do so, but it might be worth it. It was scary to reach out to "worldly people", as much as we had been told to avoid them and as dangerous as they were made out to be, but we did it and haven't regretted it. It's been a huge turnaround for us. This year instead of being our "year of adventure" is our "year of relationships", trying to build upon the foundations we laid and really get to know people better. It isn't going to be easy, but just going to meet others at a restaurant for a meal is a great start and lots of fun.
I'm so sorry you're feeling so depressed. I know what it's like, and maybe I shouldn't be here telling you that things get better because when you're depressed it's hard to hear, maybe even harder to believe. I just really want you to know that better times can be ahead if you are willing to put yourself out there. At a point you have to because life is just so awful without anyone in it. I think it's awesome that you two have each other though. For a long time it was just my wife and I and we're extremely close. If you need some ideas on how to reach out and maybe find some friends I'm happy to help. This coming from a guy that had no friends for a long time, so if my wife and I can start making friends, it's possible for anyone.