trust me,

In KH1, Sora sees his home world destroyed and loses his friends? He helps put the 100 Acre Wood back together and reunites Winnie the Pooh with his friends.

In COM (Thank you to estrangeres for mentioning it) Winnie search for nobody like Sora is searching for Namine.

In KH2, Sora is dealing with the confusion of having lost his memories, made worse by the Organization constantly imposing Roxas's identity onto him. Well, Pooh has also lost his memories. But that's okay, we can fix that together.

In KH3, Sora is dealing with the fallout of failing the Mark of Mastery exam (something everyone seems extremely judgmental about). Also because of that Pooh loses his connection with Sora. Yet there's no judgment here, they simply spend time together and rebuild their bond. (Sora does finish this storyline more worried than usual, but that also foreshadows his later breakdown.)

And in DDD where Sora do end up having depression guess what? There is no 100 Acree woods!

In every one of the games he appear in, Pooh's feelings mirror Sora's. The 100 Acre Wood becomes a safe place for him to explore his emotions.