Well, not friends, but I discovered that my therapist's husband was my best friend's boss at a small newspaper where the communication was quite a bit more then some boss/employee dynamics. It was a little odd... my friend told me a bit about my therapist's husband and how T. often frequented friend's place of employment to have lunch or spend time with her husband. I knew they were only acquaintances at best. Where it did become uncomfortable is seeing the therapist (and the boss-husband) with my friend at said friend's wedding reception not long after the therapist dumped me. I felt those exact same feelings you described of "outsider-ness" strongly. Not only that, but I was the unsuccessful one with the mental health condition. It felt like, here we go, once again in my life I'm the inadequate outsider.
Sidenote: I didn't and don't live in a small town and the therapist's office was outside of the large city we all lived in. Go figure.