I think that you might be lonely because you don't have any close connections with others (or not enough?). If this is true, there could be a lot of reasons for this - 1) you don't trust enough to let people get close?, 2) you were never taught how to get close to others?, 3) you lack social skills or social insight?, 4) your self-esteem is low and this makes it difficult for you to interact with others? - this is all that I can think of at this time. If any of these are true they can cause both loneliness and depression. Maybe one doesn't cause the other? Maybe something like the above causes them both?