Hi and welcome to Psych Central! I agree with your therapist that you might be expecting too much. We can't expect everyone to like us and to want to be our best friends.

I am wondering if your depression is not making it more difficult to communicate with friends. You say it takes a lot of effort.

I know being a good friend means being interested in the other person, finding things in common to talk about, and being complimentary of the person. If you can think of a specific situation where you might be interacting with somebody, then I might be able to be more specific myself.

I know this book is an old one and might sound a bit gimmicky, but Dale Carnegie's "How to Win Friends and Influence People" is a classic.