It's not "because they are depressed" but more he's desperate for friendship because he's depressed/lonely and that desperation causes him to cling to anyone who is nice to him even if they are a bad person or do immoral things.

Maybe depression isn't exactly it, but basically I think he has very low self esteem and always feels miserable so he chases whatever makes him feel good like an addict would. In this case it was relationships with online people who happened to be pedophiles.