Orgasm

I've never been able to cum, I've been sexually active for 3 years and my boyfriend who has been with a lot of people said that every girl cums.. when I know there are women out there that don't... should I talk to a doctor about it? I just feel so broken so I usually don't think about it but now since he's brought it up I've just become extremely insecure.. and I honestly don't know what to do. When I masturbate I have the feeling and orgasm but nothing ever comes out and when I have sex I've never been able to even really feel anything except the fact it feels good... I just need some advice. I have really bad depression too would that have something to do with it?