I used to know someone that craved cuddling when he got depressed. He was already under the care of a therapist and on anti depressants. He sought out cuddle groups on meetup and explored tantra like workshops or groups to help bring more connection into his life. So yes, you are not the only one that craves intimacy when down. For me if I get down I go into nature to feel better or listen to Abraham Hicks on YouTube. Well..those are my healthy choices. If I feel lonely that is when I crave intimacy, not sex, just a good cuddle.
And I agree with Mathguy and Mark that there are hormones at work and perhaps your body is sending you a message. I have my own story with an ex husband that had depression. There was a much bigger picture behind it. I don’t know how old you are or your state of health, but there is no harm getting some blood work and a hormone panel done. I know an excellent sex therapist that I refer people to as well.