OK, here's my advice, but first my history of taking drugs. Everything's been recreational and I've never become dependent on anything.

I've tried most things with the exception of some newer designer drugs, heroin and crack.

I could never ever recommend coke, especially if you are depressed. It's a bad drug mate. Trust me on this, its dreadful for mental health.

Mdma is a good drug. I find it more of a social drug but it's probably OK in small doses taking alone. It's good for depression but has a comedown that can leave you low. Small quantities would be best, as would pure mdma as opposed to pills. I wouldn't recommend for you personally unless you've friends to try it with.

Cannabis is great, I'm still a regular user (male 40yo) and it's all I take. But it can slow you down if taken regularly. I'm cool with it, keep a well paid job, relationship etc and it didn't interfere at all. It could be considered a safe starting drug imo.

Other options for you would be acid (LSD) which is much more fun solo, and taken in the right quantities is meant to be great for depression. You need a fair bit of time to yourself as once you start, it can last a good while, ideally you'll sleep afterwards. People also micro dose LSD (similar to how they do with mdma) and it gives very interesting results (Google it). There is a small danger of a 'bad trip' tho, keep intake low to mitigate that risk.

Always research anything before trying for the first time.

Ask any advice, I'm happy to let you know what I know.