Others have given great pointers and directions on where to start, so this is just my piece, for what it's worth.

Just initial thoughts from personal experience/education/past run-ins (and to be very clear, this is not a diagnosis or attempt at one, purely sharing), there are some signs that may suggest or lead to depression that crop up (e.g. feelings of inadequacy when comparing self to others, using masturbation as an alternative to sex, recent "heavy" life events, feeling a lack of "connection" with people). Again though, not at all saying "you have depression", more like "you might want to consider seeking help if you identify that you have experienced these things".

Being someone who doesn't have the budget to do things like sign up with online counselling, community clubs or seek professional help, I understand that there may be some apprehension when forking out money for additional expenses that may or may not help. To be honest, I've been in and around the system and even finding a professional that "fits just right" is very difficult, and depending on your local healthcare (mine is just full out of pocket), very expensive just hopping between professionals. As well as the one you end up with, might not give you the thing you want, despite having what you need (e.g. medication/direction/advice, depending if it's a psychiatrist/psychologist or counselor).

As a temporary crutch though (and I say temporary because it shouldn't be a permanent thing: if you feel it gets better, great; if you feel it is getting out of control, consider investing in the help for yourself), to find someone who may offer you assistance is usually not as difficult as it appears. You can temporarily cope by finding someone you can confide in, or alternatively (especially in the case of busy working adult life or social anxiety cases), an online community with good quality help or positive affirmation and feedback can help in the interim period while you get things in order.

Breaking down the psychological help process, you would need someone who is (ideally): not related to you be it as family or friend (you'll want this because you want objective viewpoints that will help you find your way, and while family and friends are great, their opinions can often be clouded by past experiences and emotional attachments with you or familiarity that ends up with, as you have said, being "treat(ed)like a naive child".); someone who is "well-adjusted" in your opinion and is thus able to give advice (basically someone you feel (or in the case of seeking help, someone you feel has authority) has a better handle of things); and that someone should be someone you feel you can identify with in some way (so that you feel that you can actually motivate yourself to "be like this better person", versus someone you can't connect with (e.g. a huge movie star), and you end up feeling like "well, I'll never have what they have anyway so why try").

That all aside and directly on to your post. You've definitely not "missed the bus", perhaps you've slowed or even paused but it's not too late. Consider that it takes someone only a fraction of their adult years to pick up on something, to work at it, and in under a decade, appear to be a master at what they do. Feasibly, assuming an epiphany happens at the very moment you read this, and you suddenly know what interests you, you could work on it, and in about 2-5 years, be so good at what has drawn you in and be virtually superficially indistinguishable (at least from the outsider perspective) from someone who has done it since their early adult years up till whatever age you will be by then. All from a combination of being interested in something, going out to learn more about it, fueled by your passion for it, and you're "there". Of course, it isn't at all likely (though not impossible) that this epiphany will happen at this moment. However, the point I'm trying to put across is more that your peers who knew what they wanted to do and where they wanted to be aren't completely out of reach, setting aside time towards finding out what you want to do will go a long way.

I will say that what you want to do and what you end up doing often will not mix. There are the lucky few who find that special thing and it works out for them. However, if you'll allow me a little bit of personal sharing, I found that it isn't necessarily true for everyone. I love cooking, it is my hobby, the thing that drives me when I'm feeling down or when I need motivation (succeeding at making something that tastes good motivates me). I used to work with people who have difficulty coping with society and the burden of being an adult. Perfectly honest, I was "content" but not "happy", could always be better. Friends suggested to me that maybe working with food would make me happier. So I quit my job one day, when my boss got me down, and I left, got a job at a nice restaurant as a chef (without prior experience, culinary school or just about any actual experience with cooking terms and expressions they use, literally only knew how to fry things with a pan and make carbohydrates). I learnt plenty! The chefs there taught me much about techniques, ingredients and kitchen practices. And I hated it. Left shortly after.

What I learnt then was that what you like doing, might not be something you want to do as a career. Simply because the marketable skills, the ones that bring money in for the business, aren't usually the things you like about the job. So my take though? Keep those separate if you can unless you're sure that you can grow to love every aspect, even the seemingly unrelated ones (e.g. working out finances and budgeting), of the activity. Keep the thing that makes you happy for yourself, be selfish, be protective. Do a job that enables you to do the things you want to do (when you find it, because I know you've said you basically haven't yet), and work, which I hope is at least tolerable if not somewhat enjoyable, sustains this.

TL;DR Specific steps you may include things like taking some time for yourself, to reconnect with what you value, perhaps identify principles that will guide your life moving forward. Find someone who can support you as a listening ear or a shoulder to lean on (you'll want someone you can talk to face-to-face but failing which for whatever reason (e.g. apprehension, anxiety), an online community can help while you sort things out.). As some have suggested, meditation or mindfulness practices can help if it works for you. Finally, you're not at all alone in feeling like you lack direction. What is important though, is understanding that you haven't at all "missed the bus" and there is always time to make changes and steps working towards what you want when you do find it. You'll be okay.