It’s heartwarming that you’re concerned for the well-being of your pokémon, anonymous, but you needn’t worry. Your pokémon have spent all this time bonding with you, so they likely already know the inner workings of your mind. That isn’t meant to alarm you; rather, it’s meant to say they very likely already accept your depression, no matter how intense it may be. They’ve had time to grow used to how your mind works, even though it hasn’t been as bad as it is now, so they can adapt well enough to the emotional changes you’re going through. In fact, if they haven’t reacted to your fear of hurting them (or if they hadn’t reacted badly to it, anyway), then very likely, they’re strong enough to shoulder your emotions, even when you’re not feeling well enough to do so yourself.
That having been said, though, it’s actually a great thing to be bonded with a psychic-type pokémon when you’re struggling with depression. Not to be a bit of a broken record, but psychic-types more than most others are attuned to the minds of their owners. As such, they’re also capable of understanding your needs. Being bonded with a psychic-type, in other words, allows them not only to develop the strength to help you but also to have a better understanding of what helping you would mean.
So in short, you shouldn’t worry about hurting your pokémon. If anything, you should let them help you because they’re likely your best assets at this time of your life.
Best of luck, anonymous!