It's okay. People get sick of their friends all the time. Maybe you're changing, maybe they're changing, whatever. Being alone now isn't weird. I'd just advise you to open up to other people whom you might like. It's good that you do hang out with some people, especially since you understand why you want to. I spend time alone on purpose, too, just because I realize it serves me best. I truly believe I'm happier this way than forcing myself to build the friendships that are available to me. I'm happy socially, and I know as my situation changes in the future I'll be able to change to be happy socially there too. I'm okay because I understand myself, and it sounds like you understand yourself too.
When your depressive thoughts hit you, do you ever find ways out of them? Leaving yourself vulnerable to them is kind of scary, but sometimes it also allows you to work with your thoughts and feelings uninterrupted and gives you a better chance to deal with that depression. So you could take advantage of that, but I don't know how that would turn out. The depressive thoughts are something to be aware of, but if they don't get worse then I think it's fine to be alone for now.