Believe me, I know how you feel.
But I probably have felt much, much worse. A little while after I came over, I realized how lonely I suddenly was and how everything was so different. I felt like I didn't know how to do anything by myself anymore. Even the people seemed too different to relate to... sometimes it STILL feels like that for me, to be honest. I mean, they all grew up so differently than me knowing different things in a different country, so it's not the easiest thing to relate to alot of people from here on a deeper level than small talk. The only people I had to talk to in the beginning were my boyfriend's friends, and all they talked about was inside jokes and memories they shared. Needless to say I felt pretty left out. For months after I came over initially, I had nothing to do whatsoever and I think I literally was going crazy, and because of that I was so homesick. I thought starting uni would help, but no, on top of that I had an incredibly bad year with virtually no support at the uni I went to, and the people in my class gave me the cold shoulder all year, even though I tried to be nice. Furthermore, the lecturers were anti-American and they never complimented or gave me any encouragement on any of the work I did (only negative feedback), despite how hard I worked, and actually singled me out and enjoyed giving me a hard time. Because of them I lost almost all confidence in myself and my abilities. I think it was just the particular class I was in at the particular snobby uni I went to, but I literally had to go on anti-depression medication because of it. It was a nightmare. I think I was just VERY unlucky though, but because of that I really do sympathise with having a difficult adjustment. I kind of doubt ANYONE'S was as bad as mine.
Now things are FINALLY looking up for me. I have alot more confidence in myself now, probably because I've had a chance to recover from my horrible year, and I have transfered out of the uni I was at and going to a much more promising one, and I've gotten used to using public transportation by myself, which really helps. I agree with everyone else on here, try to get out more. And I bet things WILL start getting better once you have more to fill your day. Boredom and loneliness and doing nothing all day can really distort reality and cause depression ... try to stay busy and active, and keep working out as you're doing. You should be fine.