If you are going to build self confidence the first thing you need to focus on is becoming more self aware. You need to figure out what you do and why you do it.
Life is full of challenges and right now you may seem them as inconvenient or bad or just something to fear and be depressed about. What if you looked at your problems and challenges as a way to make you stronger within yourself. A way to make you more aware of who you are and what you are capable of coping with. These challenges that life throws at us are nothing more than opportunities to develop ourselves mentally and spiritually, maybe even physically.
The only way you can do this is to become aware of how you react in different situations. Take a good look at your strengths and weaknesses. What makes you do and say certain things and under what kind of condition.
Doing this will help you connect to what you need to do to become stronger and more powerful within yourself.
Becoming self aware is a never ending process. No matter how confident you become in life chances are you will always be capable to being more than you are right now so get used to it and enjoy it.