I feel like everything is my fault.

I feel guilty and stressed. I feel like everything is my fault. I feel like I annoy everyone (people say I'm not annoying but I feel like I am) and I feel like I'm rude to people.
Is this part of depression or something different? I have OCD too.

Hi Spike99, what you are describing can be part of depression but is also an example of 'distorted thinking'. You cannot be responsible for everything and everything can't be your fault. It is a very painful way to think and feel and most of us have some unhelpful ways of seeing and interpreting the worl around us which causes more pain than we need to suffer.
I found MoodGYM helpful, and it's free, affiliated to Australian National University. HTTPS://Moodgym.anu.edu.au/

It sounds a lot like the depression is causing you to have these self doubts. As Fizzyo said, "distorted thinking" is a good example of how depression effects us negatively.
When you are aware of them it helps to overcome them. Here is a list of the distorted thinking patterns:
10 Distorted Thinking Patterns (Cognitive Distortions)

Here are the 10 distorted thinking patterns according to Dr. Burns. Burns writes:

1. All-Or-Nothing Thinking – You see things in black-and-white categories. If your performance falls short of perfect, you see yourself as a total failure.
2. Overgeneralization – You see a single negative event as a never-ending pattern of defeat.
3. Mental Filter – You pick out a single negative defeat and dwell on it exclusively so that your vision of reality becomes darkened, like the drop of ink that colors the entire beaker of water.
4. Disqualifying the positive – You dismiss positive experiences by insisting they "don’t count" for some reason or other. In this way you can maintain a negative belief that is contradicted by your everyday experiences.
5. Jumping to conclusions – You make a negative interpretation even though there are no definite facts that convincingly support your conclusion.
   A. Mind reading. You arbitrarily conclude that someone is reacting negatively to you, and you don’t bother to check this out.
   B. The fortune teller error. You anticipate that things will turn out badly, and you feel convinced that your prediction is an already-established fact.
6. Magnification (Catastrophizing) or Minimization– You exaggerate the importance of things (such as your goof-up or someone else’s achievement), or you inappropriately shrink things until they appear tiny (your own desirable qualities or the other fellow’s imperfections). This is also called the "binocular trick."
7. Emotional Reasoning – You assume that your negative emotions necessarily reflect the way things really are: "I feel it, therefore it must be true.
8. Should Statements – You try to motivate yourself with shoulds and shouldn’ts, as if you had to be whipped and punished before you could be expected to do anything. "Musts" and "oughts" are also offenders. The emotional consequence is guilt. When you direct should statements toward others, you feel anger, frustration, and resentment.
9. Labeling and Mislabeling – This is an extreme form of overgeneralization. Instead of describing your error, you attach a negative label to yourself: "I’m a loser." When someone else’s behavior rubs you the wrong way, you attach a negative label to him: "He’s a ****** louse." Mislabeling involves describing an event with language that is highly colored and emotionally loaded.
10. Personalization – You see yourself as the cause of some negative external event which in fact you were not primarily responsible for.