Many people on here are going to tell you to pray to God and give you words of encouragement through scripture. When it comes to spirituality, I won't be able to help you. But maybe I can still offer you some encouragement.
It's easy to feel like nobody cares about you, especially when you're a teenager. This really won't change, most people aren't going to show much interest in your problems. Of course, when you bottle up your emotions, most people won't even be aware of your problems. And this is generally where loneliness plays its part. When you bottle up your emotions and you don't have many good friends, it's hard to find someone to confide in.
Personally, I believe the first step to dealing with depression is coming to terms with who you are. If you're feeling lonely, is it because you find it hard to make friends? This is often the case, but please correct me if I'm wrong.
After you come to terms with who you are, take the time to appreciate yourself and the fact that you're alive! Even in the midst of deep depression, try to find a moment in your sorrows where you can just smile. Maybe you're smiling because even when everything seems to have fallen a part, you're alive. Or maybe it's because you know there are still many possibilities out there. Perhaps you smiled because you know you can at least experience the pleasures of an activity you might enjoy such as reading or writing (if these pleasures include drugs or self mutilation, find better activities that aren't dangerous to your well being).
Lastly, you need to figure out what you need to do to change yourself for the better. I was heavily depressed in high school and I found I had a hard time making friends. So, when I began going to community college, I made it my goal to talk to more people. I would look for people who looked like they weren't too busy socializing with other people - or too busy working on other projects. Even if I didn't know what to say to them, I would go up and just try to strike some sort of conversation. Sometimes people reacted quite positively, while other times they didn't show much interest in what I had to say. Part of this experience was building confidence. Another part was learning how to deal with rejection. And in the end, I learned rejection isn't nearly as painful as I initially thought - and that it was worth it to meet new people. I'm still quite reclusive, but I'm very comfortable with who I am, I have a handful of great friends, and I know that no matter how bad things seem to get - I can always work hard to bring myself back up.
Obviously, it's not going to be nearly as simple as that. But, hopefully, it will be a good place to start.
I'm not sure how much this information will help you - I'm not a professional when it comes to this kind of stuff. But here's to hoping it does help!
If there are any issues you want to talk about, any barriers you want to bring up, or if you want to know specifically how to overcome certain challenges, just let us know. : )