It's the ideas that are depressing. The idea of being lonely, primates are social animals and we feel the warmth with other primates.

For some people, the idea in the back of their head that "i'm talking to a robot because i have noone else to talk to" is more depressing than being lonely to some, and it's amazing to others.

It's just that these "bad" ideas going in a loop in your head and eventually becoming habitual, consuming you from inside.

I had a super messy closet, going on for weeks. The moment I acquire a new idea: "this is a depression closet, and i'm depressed?", now I practice this idea in my head, let it bother me, instead I could just take any saturday and clean up the mess and not deal with it again. And I'll do so at my convenience, that saturday could come a year from now, the fuck do I care.

And in fact, I re-did my whole closet on a budget and that was an endless supply of dopamine for a few weeks. I don't let irrational ideas go on a loop so they don't become a habit later. Having a coherent and rational mind with good intuitions about "identity/self" definitely helps not acquire such habits.