Resident Psychologist here,
I get a bit anxious about the future as well. What will I do after Shanghai? Go for my PHD? Change fields? Stay where I'm at? Blow another decade of my life to become a psychiatrist?
What's your goal for the short term? To enjoy life and have fun? Wonderbar! Shanghai is great for that. But maybe take some breaks in between gallivanting to find a possible exit strategy. A new place to move too. But don't jump the gun and make a move out of desperation. The thing I would say is take a lot of time to weigh out the pros and cons, and see if you have the possibility of finding and moving to an environment that is equal to if not greater on the pro side of things.
As for depression itself, you may have a combination of Seasonal Affective Disorder (S.A.D.), and situational depression (Cause your friends are leaving).
The neat thing about SAD is that it can be treated with just light.
I get it every year come winter. However, I just turn this thing on and sit next to it while I get ready for work every morning.
Regarding your friends; It's entirely natural to feel depressed about these things. You've gotten connected to these people, and now they're gone. It sucks, because these are all relationships that you put time, emotion, and empathy into. Maybe work a letter writing session into your schedule. Once every 2 weeks or so write a few emails to your friends, and keep touch. It will give you something to look forward to, and it will allow you to keep these people in your lives.
As for your lady problem; maybe review the bad. Everyone tends to sugar coat their past relationships when in their darker moments. It gives them something sentimental to cling to like a life raft so they don't get drowned in depressive thoughts. But I strongly suggest that you review the not so fun memories. Maybe it will remind you that you are indeed better off, and that you're a strong, independant Insert Race here man, who don't need no woman!
Those are just my thoughts.