I also used to be shy and very socially nervous... I'm not so much any more but deep down I still struggle with it.
It's true though that alcohol worsens depression. It also worsens anxiety, unfortunately. Because your brain is constantly being fed a depressant, it has to overcompensate by firing more energy (excuse my non-scientific language, can't remember how exactly it's described)... so then the next day, without the alcohol, your anxiety will be through the roof. I struggled with that too. It was a terrible cycle! The anxiety made me drink which made me anxious which I could only stop by drinking...
After stopping drinking, the first few times I hung out with groups of people I felt completely anxious and awkward. But now it's been almost two months and I'm finding that I feel much more confident than I did. I just got back from a small group gathering with people I'd never met before and I had a wonderful time. Turns out that when I'm not drinking every night I'm not as awkward as I thought.
If possible, you should give yourself a couple of weeks to be away from social events while you keep drinking. For those of us who are anxious it's just too much of a trigger. stop drinking, get through the initial anxiety, spend time with people you trust and don't feel you need to perform for. Then gradually work up to the big gatherings.