I can relate to the depression thing, but not as it relates to birthdays. I was a pretty depressed person for a loooooong time, and I too went through it when I was supposed to be in that season of life where everyone is having a good time.
All I can say is, for *some*, life begins later. Don't sweat what you haven't yet done, your lack of a mate or the like. Sometimes we haven't figured out who we are yet, so how can we really choose what we want to do, or with whom we should be?
I am having more fun now at nearly 41 than I ever did at 20 or 30. Your time will come too.