When you're overwhelmed by sorrow and depression it is tempting to think that no one understands how you're feeling, least of all God -- who claims to love you.
Here are two passages about Jesus that set me straight. The first is from Isaiah and is speaking about Jesus prophetically.
2 He grew up before him like a tender shoot,
and like a root out of dry ground.
He had no beauty or majesty to attract us to him,
nothing in his appearance that we should desire him.
3 He was despised and rejected by men,
a man of sorrows, and familiar with suffering.
Like one from whom men hide their faces
he was despised, and we esteemed him not.
4 Surely he took up our infirmities
and carried our sorrows,
yet we considered him stricken by God,
smitten by him, and afflicted.
5 But he was pierced for our transgressions,
he was crushed for our iniquities;
the punishment that brought us peace was upon him,
and by his wounds we are healed.
Jesus was a man of great sorrows who experienced constant rejection by the people who were closest to him (and he still experiences this now). One of those times was in the Garden of Gethsemane:
36Then Jesus went with his disciples to a place called Gethsemane, and he said to them, "Sit here while I go over there and pray." 37He took Peter and the two sons of Zebedee along with him, and he began to be sorrowful and troubled. 38Then he said to them, "My soul is overwhelmed with sorrow to the point of death. Stay here and keep watch with me."
39Going a little farther, he fell with his face to the ground and prayed, "My Father, if it is possible, may this cup be taken from me. Yet not as I will, but as you will."
40Then he returned to his disciples and found them sleeping. "Could you men not keep watch with me for one hour?" he asked Peter. 41"Watch and pray so that you will not fall into temptation. The spirit is willing, but the body is weak."
42He went away a second time and prayed, "My Father, if it is not possible for this cup to be taken away unless I drink it, may your will be done."
43When he came back, he again found them sleeping, because their eyes were heavy. 44So he left them and went away once more and prayed the third time, saying the same thing.
45Then he returned to the disciples and said to them, "Are you still sleeping and resting? Look, the hour is near, and the Son of Man is betrayed into the hands of sinners. 46Rise, let us go! Here comes my betrayer!"
Yes, Jesus was betrayed by Judas, but don't overlook the behavior of his other disciples that night. "My soul is overwhelmed with sorrow to the point of death," Jesus told them. "Stay here and keep watch with me," he asked. But instead they fell asleep. Not once, but twice.
Jesus knows sorrow and depression. He knows abandonment. He knows what it's like for no one to understand.
When you're alone and lonely, overwhelmed with grief, to the point of death, meditate on these passages and absorb them into your soul. You can find solace, and even gain a measure of understanding for the suffering Jesus went through for you.