Social support
Reaching out socially can be the last thing you may want to do when you are really struggling mentally. There are schemes and groups out there that completely understand this but also believe sharing experiences with others who understand what you are going through or giving you something to be passionate about can be really beneficial to your situation and state of mind.
Local support groups
The best place to start with this may be your local Mind branch. Often they offer both well being workshops that are led by an expert, which might be better for you if you aren't willing to talk about your experiences to others, and support groups.
Volunteering
If you're not too sure about doing activities to benefit yourself, how about benefiting someone else?
Volunteering is also free and a great way to build up your CV. Primarily, however, it can give you a real sense of purpose and fulfillment and is a great way to meet new people with similar passions to you. Focusing on helping others can in turn help yourself and you can transfer that compassion onto yourself. The site Do It has loads of opportunities across the UK and some volunteering can require little to no commitment so you won't be letting anyone down if you sometimes can't face turning up
Rock climbing
Climbing Alongside Mental Health (C/A/M) is, as they put it, a non-profit awareness movement dedicated to promoting the positive effects of rock climbing in helping with mental health, including (but not exclusive to) depression, self-injury, and thoughts of suicide. This scheme is in place at climbing walls across the country (check which ones here) and gives you, and someone else if you wish to take a guest with you, an introductory climbing session for free. To be eligible, your doctor or therapist must agree you'd find the activity potentially beneficial to your mental health and they must then fill out a referral form. When booking your free session mention that you are part of the C/A/M scheme and when you go climbing bring along your referral form. Rock climbing can be really great at boosting your self confidence.