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TL;DR If you feel like you are never included in the fun things your friends do, you may have rejected so many invitations that your friends have just assumed you will say no to future invites. Don't do this. Instead, take an active interest in the things your friends enjoy even if you don't enjoy them yourself and they will eventually take an active interest in the things you enjoy. This will broaden your own interests, make your friends schedule activities that you enjoy more often, and cause your friends to include you because you are more likely to say yes
Disclaimer: I am not a therapist, but I am parroting advice that my therapist has given me.
When I was very young I felt like my friends didn't like me because they always seemed to be having so much fun with each other, but not me. It made me feel like an outcast.
My therapist at the time gave me homework to do. She told me to record everything my friends were doing and everything they invited me to, to see real numbers, and not numbers clouded by depression or anxiety. Similarly, she wanted me to record everything I invited my friends to and how many times my friends accepted or declined.
And the numbers were surprising. It turned out I was being invited to do a lot of things, but I was being incredibly picky about what I wanted to do. I would not go to watch a movie my friends were watching because I wasn't a fan of the movie. I would not go to game night because I didn't like the type of game they were playing. I didn't hang out at the mall because I didn't see the point if I wasn't going to buy anything. It wasn't that my friends didn't want me around. It's that I wanted my friends to invite me to something that I wanted to do.
My therapist showed me that that's not their responsibility. If I want to have control over what we do such that it suits my preferences, I have to take the initiative to plan hangouts and activities that I enjoy doing with the people I enjoy doing them with. If I don't, I can't expect other people to psychically know what I want to do and cater to my tastes.
Not to mention, the more I declined offers to hang out, the less people would invite me. I became known as someone who just didn't enjoy doing things, and so I didn't come to mind as a person who would say yes, even if she was asked. It's really not a friend's job to keep inviting you when all past evidence says you will say no. That just gets frustrating and, honestly, depressing for them.
Similarly, my therapist told me to look at being with friends in a different way. The point isn't whatever we were doing together. The point, was that we were doing something, together. I was told to try to enjoy the togetherness and not the activity, and that enjoying that togetherness might lead me to enjoy activities I may never have enjoyed before.
This advice has honestly changed my life. I just started saying “yes” to invites, not always, of course, but I made an active choice to try and say “fuck it” and enjoy time with my friends doing what they want to do, and this opened my eyes to so many new experiences. Things that I thought I hated I began to enjoy because I saw what was wonderful about them through my friends' eyes. I took an active interest in my friends interests and tried my hardest to understand what they find appealing about them, and in return, naturally, without me even asking, they did the same for me. Soon I found myself enjoying what I was invited to, AND I found my friends understood my original interests more and thus were inviting me to things that I wanted to do, which was exactly what I wanted in the first place!
You have to show interest in your friends for them to show interest in you. It's reciprocal. So if you are feeling lonely and rejected, ask yourself, how picky are you being? Are you really ostracized from your friend group, or are you just rejecting everything they suggest because you don't think you will have fun doing it.