If you feel lonely, do not get depressed. Get out and try to make friends, and maybe join a society or two. Join the post graduate society if there is one. If there isn't, perhaps you could consider setting one up to look after the interests of these important but often overlooked members of the university. There may be sports clubs and the like where you can at least find a human being to talk to, after spending hours cooped up in a lab or hunched over a computer. You might well need to seek out human contact.
I knew a student like this in England who was eventually institutionalized for mental problems, which I personally believe had been intensified by the conflicting advice of two supervisors. There was no way he could satisfy both, and I still recall his depression after he had spent several weeks following a certain path that supervisor A suggested, only to be told by supervisor B that it was a total waste of time even to think about that avenue. If you find yourself in a similar situation, I suggest you go and talk to someone in power, like the head of department or dean of faculty, and seek their advice on changing one of your supervisors. Prepare your case carefully, for s/he will not automatically enjoy hearing two members of their staff being criticized. Be cautious also in the way you present your criticisms - make them, but do it as nicely as you can.