What makes you scared to go out on your own? Is it safety related or because you don't want to be judged by others? If it's safety related, can you find someone to walk with you? If it's about being judged, please just go anyway - most people aren't as mean as we think and the ones that are aren't worth listening to.
I also suffered from major depression, but feel great now after therapy and medication. My psychiatrist also said that exercise is a natural mood lifter, so your idea to go on long walks is a really good one. It's also been shown that people who exercise feel better about themselves in terms of self-esteem and confidence than those who don't even if they weigh the same.
Do you follow your slimming world program to the letter? If you do, then I would have a talk with them to understand why you are not having success. If you don't, what is keeping you from doing so?
Please don't feel like there is nothing you can do - in fact, it's all up to you and all under your control. Depression makes you feel like everything is hopeless, but I swear to you, it's not.
I would highly recommend you consider consulting a therapist and your doctor about your depression if you haven't already. It can be treated and you can feel so much better than you do right now.