The title made me think of
Auschwitz (or just a generic Nazi concentration camp),
and I think I can get this to fit most of the riddle itself too. In fact, the following more general answer also works:
PRISON.
your holiday starts, forget happiness
Entering a prison is like a 'holiday' from the outside world, but you'll find no happiness there.
no out from these mates of no friendliness
You cannot escape, and the guards will show you no friendliness.
your past is what we think
People are imprisoned for crimes committed in their past.
as space tortures, beginning to shrink
People in prison are confined in tiny spaces.
follow the sheep of fashion
They're all dressed identically.
through halls of no compassion
There isn't much compassion to be found in a prison.
little sun is gained through wreck
People are shut away inside so they couldn't see the sun.
each day it steals, the doves doth peck
Days in your life steal away uselessly. Doves are a symbol of peace, pecking away at the tyranny of prison.