This is exceptionally true. I moved from Boston to Beijing a few years ago (and in with my girlfriend at the same time) and essentially had 0 friends for about six months. I'm not naturally very social, so of course, I became extremely depressed.
At some point, though, I got through it and realized that I needed to meet more people. I started a "Beijing Coworking" email list for anyone who was working on a startup or freelancing to meet in coffee shops every day. I literally planned out which restaurant I would be in every day for a week every sunday and emailed it out to 100+ people. Only 3-4 people came regularly, but some of them are now among my closest friends.
I also learned from one of them how to turn acquaintances into friends. She had an email list of cool people she knew, and would schedule random events a few times a week. She didn't care at all if people came or not.
She's since moved away, but now every time I meet someone, I add them to my contacts and invite the whole set of Beijing contacts out whenever I go to a concert or out to eat, etc. People who don't come to anything in the first three months get dropped, but even so, just losing the embarrassment of inviting people means I naturally give them a few more chances to become a friend.