I think that feelings like depression and loneliness are all feelings that we will experience, but they can also be resolved quickly. I don't like to experience and I wouldn't like to experience such feelings, but firstly, everyone should be happy enough with their friends not to experience depression and loneliness or having to put up a front. Everyone is different, so I don't see why someone should be so bothered by that fact. Then, about heartbreaks, it's part of the parcel in everyone's apparent quest to look for 'the one' so that can't be helped.
Since I haven't really gotten any of those feelings before, I'm not really sure what I would do, but I would most likely talk to a family member or a close friend about these feelings and try to loosen up and be optimistic and keep moving on with life.