My situation was also something similar, but not quiet the same. I live in India with relatively simpler life style, and had a high paying job, but I always felt something was lacking in my life and was not happy (i don't think i felt depressed.) What I did was:

I quit the job and went back to my college and asked my professor to let me stay in the college for some time. I had some savings that i can live by for an year or two (with my simple life style.)

With all the free time I got, was finally able to contribute to an interesting free software project, that matched with my skill set. This made me feel a lot good, my stay enjoyable and busy.

At the same time, i started attending interesting courses in the college (for free), learning new stuff, have technical discussions with students, etc. I am also taking care of my health and fitness in a much better way. Its been just 5-6 months and I feel a lot energetic and useful now.

I don't know how long i could stay like this; I don't know how far i can stay unmarried (remember, i am an Indian and 29). I have absolutely no idea what future holds, but am having fun right now :)