Is daydreaming excessively normal if you're having depression and nothing in your life is enjoyable?

Depression is a serious issue and you shouldn't deal with it without the help of a psychiatrist. Get a referral to one by your physician or call your local hospital for recommendations for one.ASAP

Would suspect you could use daydreaming to cope, but your depression and anhedonia can be helped, so, avail yourself of a cognitive-behavioural therapist and open the door to a more enjoyable life.