Everyone at my church already seems to have close friends and I have none. Should I stay and keep trying or find somewhere new?

“And it came to pass, when he had made an end of speaking unto Saul, that the soul of Jonathan was knit with the soul of David, and Jonathan loved him as his own soul.”

David had just come out of the Goliath episode with no standing at court and no friends anywhere in Saul's household. What happens next is a single line about Jonathan, the king's own son, whose soul was knit to his. The friendship that carried David through years of danger began with one person choosing him. Deep friendship in scripture starts small and particular, almost never with a whole crowd at once.

“And when Saul was come to Jerusalem, he assayed to join himself to the disciples: but they were all afraid of him, and believed not that he was a disciple. But Barnabas took him, and brought him to the apostles, and declared unto them how he had seen the Lord in the way, and that he had spoken to him, and how he had preached boldly at Damascus in the name of Jesus.”

Saul arrived in Jerusalem after his conversion and the disciples would not go near him, which was entirely reasonable given his history. He was on the outside of a church with every reason to keep him there. Then Barnabas took him and personally brought him in. Luke names Barnabas because that role matters enormously: most people who belong somewhere were brought in by one person willing to take a risk.