Family making depression worse, what to do?

Not sure if you are: An adult or a minor. If an adult you may need to set boundaries so that you are less emeshed with family. If you are a minor - a combination of individual and family therapy may be beneficial. Discuss your options with your provider. Take care.

Let them know : you perceive them as stressful and keep your distance. Involve yourself with them only when you can limit it or have supportive friends around to buffer the effects of family issues. Consider family counseling to handle the issues involved like abuse, death, step parents, transitions, running away, etc.