19 years old male gay in the closet. Help I don't know what's wrong with me. depressed.?

[no]

First of all I want to say I'm in the closet and my mom kind of knows my dad doesn't and my older brother suspects of me being gay.... I only had 1 boyfriend (we were together for 2 years then he moved to another country) 3 years later after that relationship here I am a 19 years old male I get depressed most of the time. I went to a psychiatrist because I have anxiety (He never helped me I mean I tried like 3 different pills, then I stopped going since it wasn't helping and it was just a waste of money. I still miss my ex (I know it's been 3 years and I still kind of miss him) Most of my friends (only two of my friends know and 1 of them is my ex) thinks I'm str8, the whole country would find out if I tell someone I'm gay (It's a small country everyone knows each other here) and my dad shouldn't find out for my own safety and if I really want to leave the country he is the one that will pay college for me. Most of my friends would probably just stop hanging out with me if they find out (even though it's not like I go out that often) I'm not going to say I want to kill myself even though I seriously think about it sometimes, but I honestly need some guide because every time the depression is stronger.... I started going to the gym again (I stopped for a while) I work half time and I will take English classes soon (I'm doing this because if I can get distracted most of the time I won't be thinking about things as much as I would if I'm at my house doing anything) guess I feel like this because the shitty life I'm having. I know a lot of people have worst situations and they can keep moving on, but I've been struggling with this for a long time, My ex nowadays has continued with his life and has been with several boys and it makes me feel bad somehow too. (we lost our virginity together) I've tried to find books about changing homosexuality, but I haven't found one yet and I honestly doubt that would help...... I just want to have a normal life and don't let the things my ex do or my sexuality affect me (My friend that know's everything about me and my ex said that I will stop feeling bad when I find some1 for me, but in case that's true I don't want to wait that long to feel well with that. I'm not someone that can find a guy quick besides I'm not good looking and I don't want to have sex with random guys like my ex let's just say I'm a little serious) because honestly even when he uploads a new profile picture on Facebook I start missing him.... I have friends that change relationships every month without feeling bad or anything.....
Most of my friends have girlfriends and a lot of them ask me if I want to go out, some of them invite me to fuck prostitutes and you know how wrong that looks when I said no. It's not like I'm a 24/7 depressed male, but I get depressed a lot and my emotions change constantly and pretty fast. I'm moving to Canada (Toronto) soon, I know I will feel better at Toronto, but most of the struggle is with me. I will be happy that I'm in a better country, but frustrated with everything inside besides I'm not moving now I'mmoving like in 8-9 months. I don't know what to do... I just want everything to stop....
I'm moving from my country because my country is not even nice to live in. Ive wanted to leave the country since I'm 14.