I feel depressed for the first time in my 19 years and I don't know how to feel
Has something happened recently to make you feel depressed?
I think it's because I broke up with my ex-girlfriend.
It's okay to be sad after a break up, because that kind of loss can be heartbreaking.  However, if the pain lasts, or if this sadness stops you from taking care of your regular duties, you may need to talk it over with a therapist.  Depression is a serious issue, but one that can be fixed with professional assistance.
I think I also feel depressed because I don't have sex anymore.
That is normal too. Sex is a part of life and not having it can be depressing. You should first take some time off from relationships though before jumping in a new one for sex.