I can say from experience that depression can make things challenging, and it takes a lot of courage to ask for help. It sounds like you're already doing some really good things to create positive change in your life: holding down a job, getting out of debt, working with a therapist... You're laying a strong foundation and creating the life that you want for yourself. Like many of the other commenters, I'd encourage you to keep working with your therapist and doing the things that are working for you.
One thing really helpful thing that I learned through therapy was to understand and respect (and even like!) my own way of doing things and my own needs, rather than beat myself up for not being the way other people are. Just recently I read a book about introverts, American society's expectations for us, and how we often feel pressure to be something we're not:
I know that if I spent all day working with clients, I would feel drained, and the very last thing I'd want to do is drag myself out of the house and force myself to be outgoing when what I really need to re-energize is some down time. If you find yourself taking solace in chores, solo workouts, or TV after a heavily social workday, maybe that's what you need to do to recharge. You clearly know how to get along with people, since it's an integral part of a job that you're doing successfully.
Maybe you can work with your therapist to find small, non-intimidating ways to start building more of the social life that you want without sacrificing things that are also really helping you. What if you commit to doing one specific social thing that you know will be possible in the next two weeks? That way, when the Insidious Voice of Depression comes along and asks, "What happened to that bubbly guy?" on other nights of the week, you'll have a response.
"Fuck you, Insidious Voice of Depression. I deliberately went out on Thursday, and I did it because I want to be social and build my friendships with those people. I'm also keeping a stable job, getting myself out of debt, and creating the life I want for myself. I'm choosing to go to the gym tonight and then have some down time with my favorite shows, because it's good for my health and helps me de-stress after work. I've already committed to going out again one night next week."
You're already making changes that are worth being proud of, and you're doing them with commitment. That pride can help you shift gears from, "what's wrong with me?" toward, "I did something today that is helping me build the life that I want for myself."