Many of the people I have worked with have been diagnosed with depression by their GP, and are taking medication as a consequence. Often this will help ensure that they are able to function adequately, but it never really seems to address their ongoing feelings of aloneness and disconnection from others, and the inescapable responsibility of making necessary and difficult life choices. People subsequently feel overwhelmed by such demands and their own feelings of perceived inadequacy, to the extent that they may question their own value, and ultimately perhaps, come to the conclusion that they are 'not as good as everybody else' in enduring life's trials and tribulations.
Firstly, know that you are not alone in this struggle. Whilst some may appear to live with such demands more effectively than others, perhaps they have just developed coping strategies that equip them not 'to think of the blue tree' in ways that others inevitably and consistently do so. Secondly, knowing that only you can make the necessary choices and decisions regarding your life is a burdensome responsibility that can result in lowered self-esteem and perceived underachievement. It may, in fact, result in you questioning if your life has any value at all. You're born and at some indeterminate point in the future, you die. What is the point of this 'bit in the middle'? This leads to the final point, specifically, what is the meaning in, or of, my life? As Jack Palance put it so succinctly to Bill Crystal in the film 'City Slickers', that is what you've got to find out for yourself. Feeling that your life is meaningless will almost inevitably result in low mood and anxiety.
Therapy is a journey of discovery and clarification in which you will come to better understand how the often competing and entwined demands in life, both yours and the people around you, may coexist in a manner that is more acceptable to you. Through those discovered insights, a more meaningful and fulfilling life is made possible. Yes, you may have a diagnosis of depression, but not all of that is an illness that needs to be 'cured'. For many, those feelings of aloneness and responsibility are issues that need to be better understood, such that life can subsequently be lived in acceptance rather than fear of them.