…but
how?! Everyone says ‘Do this’, hell even I know to do that! But no–one seems to be able to tell me how!

Rather than ask how to be confident, ask how not to be depressed. Depression is the affliction. And it's born almost entirely of your own self-absorption. That is, your own obsession with yourself. I, Me, Myself. You need to broaden your focus. Break out of your quagmire of self-inflicted misery. Because that's what it is. It's all you. Selfish you. And it'll bring others down too.
Focus more on others. Appreciate others. Help others. Let them into your life. Kiss a baby. Stroke a puppy. Help an elderly lady to cross the road. Get fit. Get active. Sleep regularly. You wont even have time to be depressed. It takes effort to be depressed.
All the good advice you hear, all the same old trite shit people say, there is some truth to it. Fitness especially. Healthy body, healthy mind. It's often just lazy, throw-away advice. But it's good, solid, sound, tried, tested, proven advice. It just depends if you wanna hear it or not.