I'm 31 and never had a girlfriend, got anxiety depression etc etc etc. Dont drink so I dont socialise that way.
I tried CBT this year and some other self help stuff and only now have started to turn a corner. Start with CBT for dummies and go from there, Audiable has some GREAT audio books for depression and anxiety you can really help yourself.
Second thing to do is get out more, check out extra curricular events at your uni and local area, most unis have loads of stuff going on you dont know about, networking events, lectures, workshops. The gym helps a lot but its still a loner activity.
There are a few websites with random local activites just go and do something.
Its the frame of mind that holds you back, if you change that you can do anything.
I tried all the meds and they just made me more disconnected, not that they wont help someone else but there are other ways the doctor wont suggest. Just recently I noticed a girl looking at me and realised she liked me, its probably happened before I just never noticed/accepted it, made me smile though. You have to change your perception to see whats in front of you.