Often, it takes a lot longer than a couple months to get settled in somewhere nnew. I know that's not exactly a huge comfort, but it is often the case.
In terms of the depression, a smart thing to do that could also help provide some of the support you're seeking is to seek out a counselor/therapist in your new city, or a support group that's live and in town.
Some organizations in your area that might be of helpp:
You might also ask the guidance counselor at your school for more resources if you need them.
Otherwise, see if you can't give it a little more time. If finding friends or a peer group is just not working yet, seeking out other venues to find that in like volunteer jobs (which, btw, are great for taking your mind off of your own stuff for a while) is an option as well.
Editor and Founder, Scarleteen
My epitaph should read: "She worked herself into this ground."
-- Kay Bailey Hutchinson