Low social support has long been considered a risk factor for depression.
However, it is also possible that connections go in the other direction: episodes of depression may lead to an erosion of social support.
This is potentially an interesting question because problems in the area of social support may be a kind of psychological "scar" left behind after and episode, and which may in turn increase the risk of occurrence of another episode.
We recently sought to examine this issue using the National Population Health Survey in Canada. We confirmed that deficient social support was strongly associated with the risk of developing major depression. In the other direction, though, only one type of social support (the form that involves expression of emotion with a trusted person - affective social support) was adversely affected by depression. Other types of social support (people being around to give advice or offer help) are easier to address in clinical settings - but this change may be an important part of the challenges of bouncing back from depression.
A link to the full report can be found here.