Haji 2003

Tip 1
Join a student society. The primary objective isn't to make friends it's to engage in whatever the focus of the society happens to be, whether it is making robots or inviting speakers to the university. But you'll likely find that as part of the process of doing these things you get to know other people outside the study context and have a basis for having an interesting shared interest. That interest will also mean that you don't have to worry about small talk.
Tip 2
Not exactly a solution to loneliness but a chance for a good laugh.
If you are at a western university, it's likely that some members of the local evangelical Christian student chapter will find you out in your loneliness. Of course, it will initially seem as if they are out to care for you, but really it's just a scam to sell you Jesus (a.s.).
Might be fun to play along with them, you know the same way that some people play along with Nigerian scammers.
Tip 3
On the topic of Nigerian scammers, I hope the following technical paper from Microsoft cheers you up. 
https://www.microsoft.com/en-us/research/publication/why-do-nigerian-scammers-say-they-are-from-nigeria/

You know that that blog is written by an apostate? FWIW.