I'm increasingly depressed when I travel
Why do you think you are getting depressed?
I see other people around me that are much happier with their lives.
It is ok to feel sad sometimes about yourself. But you must understand that these feelings should not be persisting. Talk to a professional to deal with these issues.
I don't know where to start.
Start by looking online to try and find a specialist that will suit your needs. Talk to friends and family to see if they can help you out as well, they are a good resource.