I'm in a similar position to you OP. Same age, similar situation. Had depression since I was 15...etc destroyed my life basically so I've just never had anything to do with sex or relationships whatsoever.
When I actually think about it, the fact that I've never had sex or a relationship doesn't really bother me personally. I'm just not really that kind of person, it's just not something that would generally concern me. It seems almost trivial to me. Yet I somehow still feel a deep sense of shame about my situation, I worry about what other people think and I feel under pressure to get involved in sex and relationships, similar to what you describe OP.
There just seems to be so much stigma attached to being a virgin these days, even into your late teens let alone early or mid twenties. I don't really understand it personally, just doesn't make sense to me. But it seems to be the norm.