What this song really means is that the narrator is depressed due to his failures, and he wants someone to break him out of this. It is a song I can relate to. This song describes Jesus of Suburbia's state of mind while he is leaving his home town.
Armstrong called Boulevard the 'hangover' song, and that's pretty much what it is.
Coming after Holiday this song describes the feeling of loneliness that Jesus of Suburbia has to face after the party is over. After finally breaking free and entering the City.
'Boulevard of Broken Dreams' has a sole meaning of where you walk alone and you think where all of your dreams are broke into pieces. And that's what the song is pretty much about. It sounds depressing and it is.
Walking a lonely road is not only a one-time realization of your loneliness. Going through life on your own you get so used to the solitude that this lonely road becomes your home, and your actual life.