First step to change?

I feel like I am going through some sort of genuine depression for a long time now. I always struggle to get out of bed in the morning, no motivation to do anything, lack of sleep, lack of interest in most things inc work. Someone in my life has pointed out I give off a vibe that I don't care about anything/anyone around me. Maybe they're right, I've always preferred to keep to myself for the most part but it is not my intention to come off as rude. I also struggle with other things like severe lack of confidence and fear of a lot of things like change and stepping out of my comfort zone. I feel like my partner is starting to get frustrated that I've been like this for years. I virtually have no friends either, mostly just acquaintances that I barely talk to. I understand I have pushed a lot of people away because I am very shy in nature, on top of my lack of social skills.

But in spite of all that, deep down I really do want to get out of this rut and maybe make some friends, gain some confidence, get over my fears... something to improve my life... but I don't know how. I don't know how to keep up a conversation with someone or keep up their interest. I'm physically incapable of putting on a facade just to please people. I've been trying to do something productive in my life like go to the gym to get some endorphins but at the end of the day... it's all the same.

Any advice on how to take the first step to change? I feel like my state of mind is affecting my family, my partner and how he or anyone views me, a sad sack and a killjoy. And no, unfortunately I can't afford expensive therapy, and I've heard of the "JUST DO IT" brute force mentality countless times but it's easier said than done.