It's totally okay to take a break from people who are overwhelming you with their problems. It can be really hard when you care about them and want to help, but sometimes people just have some serious problems that they need to straighten out for themselves before they can really have good friendships.

Are these friends supportive of your issues or do they tend to dump their problems on you and not be interested in yours?

I like the idea of setting boundaries. What if you say something like, 'I'm sorry, I'm trying to get over this depression and talking about that really bothers me. Can we talk about X instead?' Or even "I'm sorry, I'm not feeling up to talking/hanging out - I need to call you later."