The impacts of isolation have been well studied. While the relationship between being alone and feeling mentally unwell can be a complex one, generally speaking, those who are prone to depression often find that loneliness exacerbates the situation.
Additionally, just as things like heart disease and diabetes are considered co-morbidities, there are also similar relationships between anxiety, loneliness, and depression. Not only can these lead to one another, but they can also build upon one another.