Hello Rosentity, it's brave for you to come and open up to us, we do appreciate it and want to help you.
Being sensitive can mean that you keep asking yourself questions about what someone has said to you and if you constantly see this person try and stay away from them, they don't need to stay in your life.
If you feel it's depression then that's what you need to tell your friend/s, parents, the longer you hold this in within yourself the quicker and the bigger this will become.
Your 14 and it's only 2 years until you start to drive and then your studies will be increasing, which is always a difficult time, so you need to get your parents to agree to see a psychologist.
If someone is always criticising you, there's no reason why they should be part of your life.
There a possibility why you don't open up to the counsellor or parents and that's why you 'cry over the smallest thing', I'm sorry that's not your fault, you are a caring person and no one seems to appreciate that.
Please don't put it off any longer and get the help to make you a stronger person.