Are there women that would lead while dancing with a man and gives a lot attention?

As you stated, you are suffering from depression. It appears you are also suffering from a severe sense of self-doubt. Unfortunately, no one else can fix that for you, no matter how much attention they give you. If you're self-worth is fractured, you are like a bowl with holes in it. She could pour all her love into you and it will run right back out and you would need a constant supply. Eventually, anyone would grow tired and have no more to give. Work with your doctor, fix the holes so that you are ready to give and receive in a loving relationship.