I don't know what to do anymore...?

I am depressed. I thought I was getting better but just when I thought I had almost finished depression...I tumbled right back to where I started. It took me 2 years to get as far as I did and 2 weeks to go right back. I can't tell you everything but I'm having a very hard time. I have talked to people before but they never understand. I refuse to take medicine. I think I have finally figured out my biggest problem. I can't let go of myself. I'm afraid of loosing me except I don't even know who me is anymore...I don't know who I am and I still don't know. I think though I need to loose myself to truly find myself. That's a saying I heard "Sometimes you have to completley loose yourself to truly find you." But I don't know how to loose myself because I don't know who I am (emotionally and stuff) I can't decide anything and I have many problema because I think about it to much. There's times wher I stare at nothing and just think. That's all I'd be immersed in thoughts of confusion and curiousity. I've tried yoga and meditating and exercising to relax me. I just can't! They all say the same thing "let go.." Does anyone have any advice on how I can just "let go"? I'm so sick of fighting this I feel like I want to die. But there's also so much I want to do. My family means nothing to me though so don't try that.