After so many hours of play I feel deeply depressed while playing, mostly originating from a sense of loneliness. I hate remembering that they are just pixels. How do you deal with this?

If you're on PC, I'd recommend downloading a companion mod. In particular, companion Vilja - she's the most well-developed and lifelike character I've ever seen in an Elder Scrolls game, be it modded or vanilla. You can download Vilja here: http://oblivion.nexusmods.com/mods/28977

If you're on console, why not take on one of the vanilla companions? Many companions become available during quests, and you can simply choose not to complete their quest and have them follow you around instead. I know one person on this forum used Velwyn Benirus from Anvil for quite a time. You could also take Martin Septim.

Alternatively, you could start a new game. Perhaps it'll give you a fresh look on the game, and help you forget that loneliness.