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I'd take it step by step. First get the job you desire in the place you'd consider moving to and travel there until you are comfortable with the surroundings. In the mean time look around the place for places you could possibly rent, then once your job is stable then move away from your family to your new location. Be wise and think through things smartly, I read a book once about a guy in the similar situation and he ended up on the streets.

Think about it logically.. Will suicide make it all better, you are just going to put your family and friends in the same position you are in, depression and unhappiness. Listen to happy songs, go out with friends (if you don't have any make some).. participate in things.