Feeling alone is for the most part a state of mind. It's not uncommon for someone to be married or in a room among family and friends and still "feel alone". This happens because in the moment we don't feel "connected" to others or we don't believe they could "relate" to what is really going on inside of us. We are the ones (choosing) to isolate ourselves from others. We make the (choice) not to share what's on our mind or in our heart.
Ironically whenever someone commits suicide their friends and family are shocked because (they never knew) how unhappy, depressed, and alone their loved one felt. They all state; "If I had known I would have....etc"
Oftentimes it is our ego that keeps us from reaching out to others. We don't want to appear weak or uncertain about things in our life because we (believe) everyone else has their "act" together because they're not complaining. If we do attempt to talk to (one) person and they ignore us or are flippant about what we have to say we avoid seeking out another person to speak with.
Indulging in "pity parties" or wallowing in depression is a self-centered act. We're only thinking about ourselves and what is not going right in (our) lives. It's normal to have days like this from time to time. However to have extended periods of depression means we're not thinking about other people and things that are going on around us. We stop caring about others.
The only cure I know of for depression is taking action. It begins with having a "reality check" by trying to figure out why you're depressed today and were happy yesterday. Odds are there was nothing life changing that took place within the past 24 hours. This helps one to keep things in perspective. Sometimes its the weather, boredom, or feeling unfulfilled about life in the moment.
One mental thing I do is tell myself: "A (year) from now you will be laughing at this". (Assuming it's not dealing with the death of someone or something traumatic). Having this attitude gets you to start thinking in "future tense". It's verbally acknowledging "this" is temporary. Give your mind a break by helping someone or participating in some demanding activity or work-out, escape mentally by going to see a movie or listening to your favorite music and then face your problems with "fresh eyes". It's also important that one always has something on their calendar to "look forward" to.