Give therapy another try. It could be that your former therapist wasn't a good match. It could also be that you were just getting use to getting out of your depression. Getting out of hurt takes time and sometimes we can only do it for a few hours at a time. If you go to your GP s/he will likely prescribe anti-depressants or anti-anxiety meds. This isn't necessarily a bad thing. I've found relief from meds but others have different feelings about them.
If you are on medication it is another reason to avoid drugs as you don't want to have possible interactions. It's hard when your social group is really involved in drugs. Try to reach out to others, or even people in the group who are less involved with drugs and would be more likely to do things without being high. Good luck.