The good news: Probably most people have a rough early 20s, it might be the hardest time in life. You are waking up to the fact that the world has no rules, and even “success” is something you will have to define for yourself. It’s a lot to deal with, but you will get better at dealing with it, I promise.
The really good news is that it will never be too late to make friends, and they don’t have to be the same age anymore so the “friend pool” is way bigger. Treat this like an opportunity - you can try anything you feel like trying, most people will not care that you are a beginner, and most activities will come with a community of like-minded people you can befriend.
Don’t expect to figure everything out right away, but just get out of your comfort zone and interact with the world for now. Physical activity is best if possible, exercise is as close to a guaranteed treatment for depression as anything. This is not medical advice, but: “A tired dog is a happy dog.”