How to tell if i am wrong to need space from my friend who has depression?

No you aren't: People who have untreated depression may be emotionally needy - that can be draining. Or they may feel very low - which can also affect a friend who is empathic. They may pull away from others emotionally or there problems may take center stage. The bottom line is that if you think you need a little space than you likely do. You can still be a supportive friend while still giving yourself space.