How can I stop using escapism as a coping mechanism in my daily life?

I think the extent of the escapism, and the depression would definitely need to be explored further.

Depression has a lot of different variations, and layers that encompass the overall diagnosis. Based on the description you have provided it sounds like some of the symptoms are guarded behavior, limited motivation, and avoidance. It sounds like there is a lot more to this that wasn't addressed in the question, but based on this I think that CBT,  may be useful in order to identify the different areas that are triggering these feelings. I think that challenging negative thought patterns, and positivity exercises could be useful for building on developing more trust with relationships. 

It is important to note that these techniques, and issues would be most beneficial to address with a licensed therapist. Depression can cause more serious symptoms including lethargy, isolation, risk taking behavior, and suicidality. If not properly treated these symptoms can occur, and increase causing a risk for harm to self. 

The escapism sounds like this is an avoidance technique in order to not have to address the problems you are currently experiencing. Sometimes this can be utilized in healthy ways such as avoiding triggers (temporarily) in order to function from day to day, distracting yourself from negative thinking patterns, or replacing healthier coping skills in order to react to distressing situations. 

In a maladaptive way escapism can be used to not address and process problems that are occuring by creating fantasy lives, obsessing over different topics of interest, being involved in high risk behavior without processing consequences. The problem with using escapism in this manner is that the problems that are happening day or day or that have occured historically do not ever go away. The problems, and feelings still exist, and can come out at any time that can create more serious complications that the inital problem was. Hiding these issues from loved ones, family, co-workers, is also difficult because you are unable to develop your true identity and self which can cause its own set of issues. 

My recommendation overall would be to speak to a therapist, talk to them about the style of therapy that they do, and try to be as open as you can.