Depression can be a very lonely illness and your relationships are a key part of how you cope with your depression. You need friends for support. Not just good weather friends but friends who can support you when youre down. If one of these friends is also depressed it is not necessarily a bad thing. You can understand each other and perhaps be there on each others bad days (but not if youre having a bad time at the same time). However, you need to be conscious when choosing sexual partners that your depression will have altered you as a person. It is likely that the person you get together with when depressed will not be the person you want to be with when you are better. When you are depressed you are a different person you may not even know who you really are but your partner will be with the person you are at that time. Also, depression alters your view of the world and therefore your view of other people, so your view of your partner will not be the same when you are better.
Now, Im not saying that you shouldnt start a relationship when depressed. On the contrary, it could be the best thing for you. It may provide the stability you need to start working through...