practice
I have serious problems paying attention to things because I have lots of other things on my mind.
Slow down and figure out what's on your mind, think long on it, then most importantly DO SOMETHING ABOUT IT.
Then you have one less thing on your mind, so start tackling others. Meanwhile, keep practicing paying attention to something.
Maybe learn a foreign language on duolingo or something, it's not very hard to do. Try practicing for an hour the first time.
THen work your way up to like 2 hour practice sessions. Any time you stray in thought, think about what occupied your mind and if it is something that is bothering you, fix it.
Obviously if you are depressed it is going to be difficult and not seem worth doing, but it is and really just requires that you are doing SOMETHING.
You have a very powerful brain in your head, and not using it can lead to being very depressed. Unfamiliar things and situations where we learn give us much info to collect, good luck
