This is what I feel too. I was diagnosed with depression over 3 months ago and since then I have felt that all I say is I'm feeling..... I'm not connecting with people but I've started drugs and on the second one - first didnt work at all - I feel a little brighter. I still don't want to see people but its not so dull in my head. I'm hoping that it'll keep getting better and I might someday start to feel things again. I've gone through periods of deep despair but the most distressing is when, like you, I feel nothing at all.
I think we feel nothing as a defence mechanism so we don't have to deal with stuff deep down that's caused the depression to manifest.
Maybe it's an idea for you to look for medication to help then go see a therapist?
Whatever is happening good luck. It's an awful place to be in.