Ugh, the "go to church" suggestion.
Yes, I get that a lot too, and it makes me more depressed. If you're someone who's in the process of extricating themselves from a religious upbringing, this isn't a fun thing to deal with in addition to "regular" mental health issues.
What is helping me is:
* removing toxic parts of my life as much as I can.
* proper diagnosis and medication (the revelation of a late ADHD-Inattentive diagnosis is life-changing)
* meditation (Kabat-Zinn style mindfulness, warning that in my experience not being treated or missing your meds for anxiety/depression may make this a frustration engine)
* forgiving myself for not being more proactive (the hardest one)
* focusing on getting my son out to play with other kids (helps meet people with the same time-schedules)
What doesn't help me:
* Not taking my meds.
* Making extravagant plans. (Big things are more intimidating and generate avoidance).
* Cursing the past. (Mistakes were made)
* Going to church. (Attending a ritual gathering as a nonbeliever can be an incredibly isolating experience.)