Have you considered volunteering instead? Volunteering will look great on your resume and it will give you skills that you can apply in your next job. Also it will help you expand your network which might be the main reason why you're not finding the opportunities you are seeking.
Entrepreneurship can be quite difficult, and it takes a really heavy emotional toll on people. If you consider yourself a person with depressive tendencies, I would consider dealing with those first before starting a company.