0. You could probably benefit a great deal from talking with someone professionally about what you're going through. It's not a panacea, but it can definitely help.
1. There's absolutely no point in comparing your life to someone else's. They simply aren't comparable. Your life is yours; their lives are theirs. You're here in this world to have your experience, not theirs. Judging your experience of life in light of what you perceive to be another's experience will do you no good whatsoever. Worse, you're probably wrong in how you perceive their life. For all you know, the people you think have it so awesome are miserable, themselves, and secretly think your life is the shit — and round and round we go... Just Stop. Now.
(Full disclosure: I still have trouble with this one myself, to an extent, but only with age any more. I turned 40 last year, and work in technology, so I'm always surrounded by 20-something youth and vitality. Maintaining my equanimity can sometimes be challenging in that environment.)
2. Whatever it is that you're regretting, you need to understand that you couldn't have acted differently at the time. Between the circumstances around the event, who you were at the time of the event, who the other people involved were at the time, and so on, there really wasn't much anyone could have done, but exactly what they did. (Aside: as much as people reading along at home might want to, please don't use my phrasing here to spawn a free will vs. determinism debate. While I, personally, find that stuff fascinating, this really isn't the place for it.)
This was a very, very hard one for me to come to grips with. I used to have some pretty debilitating regrets, myself. There were choices I'd made that, when I thought of them, I'd feel physical pain, as if struck. Seriously, I remember many occasions where I'd be in the shower (the most common place for this to happen, for whatever reason), or going about my day in some other fashion, when Situation X would pop into my head, and I'm suddenly doubled over as if someone just punched me in the gut. I'm not exaggerating.
Worse, those regrets were holding me back in situations like the one I was regretting. Let's suppose, for sake of discussion, that my regret was over "blowing it" with "the girl of my dreams." Every time I was in an even remotely romantic situation after that, my regrets would be foreground in my mind, instead of being present to the situation I was in. I doubt I have to belabor how much life I missed out on because of that...
After a lot of soul-searching, and a rather expensive and painfully-wrought epiphany or seven, I realized exactly what I describe above: given who I was at the time, who the other people were, the circumstances we were all in, &c, there simply wasn't another outcome for the situation. The only way it could have played out is exactly as it did. After that, regret for my choices made as much sense as regretting it being cold that day.
Please take care not to misunderstand: that doesn't mean you shrug and walk away. Every experience in life, pleasant or painful, has something to teach us. Often enough, the more painful the experience, the more there is to learn from it — we learn that fire is hot by being burned far more quickly than we do by being told. So whatever the lesson(s) might be in your situation(s), sit down with yourself and strive to find them, honestly, and without judgement. They're there, and the rest of your life will open and flow out of what you take from them.