It can be really difficult to establish a support system, especially if the PhD is consuming time and energy and eating into friendships and relationships. I find when the PhD is going well, I have more time to maintain extracurricular activities and my quality of life goes up. When the project is in quagmire I tend to withdraw socially until I breakthrough and overcome the difficulties. Having a significant other may seems great but I've seen marriages break up over PhD stress, in which case one'd be even worse off.
When all is said and done, loneliness and depression are only symptoms of a deeper root problem. These underlying issues may or may not be academic. Face those problems head on, solve them, only then can sanity be preserved. Having friends and family are important for support during those down times but you must solve the underlying problems to reverse the momentum of the troughs.