Entrepreneurship is not an easy road. It can be ultimately very fulfilling but being depressed is not the state to start it.
You have to hit upon an idea (note that, it need not be THE idea), take it to customers. If you get positive response, you go with it and build the core of your product and take it to customers again. Get their feedback, iterate. Spend more than 50% of your time marketing. If at anypoint you believe the product is not the success you estimated it to be, you will need to pivot. All of these are very hard decisions and grueling work. And you need to do it alone. You will also need several months of backup to see you through till you get your first sales.
Being your own master is the ultimate freedom. Before you go that path, take a vacation or meet friends to alleviate the depression. If that is not enough, see a professional.
If you do go the entrepreneurial route, these tips might help you.
1. Finding a compatible cofounder can help keep loneliness at bay and focus on what is truly important. Ideally they should complement your skill set.
2. Any product, big or small, should be decomposed into small chunks. Each chunk you finish should be releasable. i.e there should a concrete output at the end. That will give tangible feedback and keep your morale high.
3. Split chunks further into tasks that are very specific and unambiguous, and finishable in small period of time, say two hours or less. So every time you sit to work, you will know exactly you are going to do. Makes it easy to get into flow. Also, time tracking will give you the satisfaction that progress is made. A common pitfall is for founders to force themselves to work night and day to finish it at fast as possible, at the compromising health, sanity and relationships . Unfortunately this can lead to burnout.
4. Design is secondary. Domain names are secondary. The core product is all that matters. For my first product, i wasted so much time just coming up with that perfect name! Nope, does not matter.
5. Market, market, market. You need to learn how to take it in front of your customer. There is no escape from this part. And if you are not already familiar with it, that in itself is a big undertaking.
Wishing you the best.