Welcome to the forums. It's good to meet you here. I am not much older than you at 29, and I certainly remember that experience of coming out of uni and going, what now? Some of my friends even now are going through that very same worry and it's really tough for them mentally. Almost like a quarter life crisis, really.
In my own experience, feeling like you've gotten nowhere in life can both be a good ol kick in the butt to a complete debilitating feeling which leads to depression. In my case, i was 25 when that happened and I did have a bit of a breakdown for a year which led me to these forums.
So I guess I'm just saying: if you feel like you need support, and I understand from your post that this is a really challenging time for you, don't feel worried at all about reaching out. I certainly don't want to be telling you to go see a doctor, or not see a doctor, but I am hearing that you are struggling and could do with a bit of help at the moment and you might find it useful to have someone to talk to. GPs can be really good at giving you a perspective from someone who's not family or friend, and just has their professional experience and desire to help.
Still, I'm glad you've come here because it can also help to just hear what other people's experiences have been. Life stories to accompany the professional advice. I hope it helped to write your post and get some of that stuff off your chest. It sounds like you've been doing quite a bit of thinking recently and I'm glad to hear you are thinking about where you want to actually go from here.
In terms of questioning whether to do TAFE or VET courses, do you have any friends or other acquaintances (extended family, family of friends..etc) who you could chat to? A friend of mine was in a real bind until he started doing some woodworking with a friend's father. It's not what he'll go into, probably, but in the end he really enjoyed it even as a hobby. Sometimes I find it can really help to just talk to people in the area, and give things a go.