Before I ask my question here's some context: I am in my late teens, have never been in a relationship and I have never had sex. I have never been interested in such things. I also have depression.

Taking into account how there's little to no advantages for relationships nowadays I have considered labelling myself as MGTOW. I am simply too paranoid, cynical and overall pessimistic about such things. However, my dilemma is that as stated before I have never really tested the waters and I don't know how I would cope without that kind of intimacy emotionally. I understand that at this age I am much more emotional than I will be when I am an adult, but I don't see things being too different 5 years from now.

Basically, my questions are: Should I try a relationship first? If so, how far should I take it? If not, are there ways of dealing with that emotionally?

Edit: About the emotional thing, it's not really about being horny, it's more about loneliness. I understand that putting that weight on someone else isn't healthy either but I guess that's why I'm asking this in the first place; to find another way.