What are depression dreams about?

There is a TL;DR at the end so if you don’t want to read, and

I was sitting in a school courtyard, hugging and kissing my current boyfriend, Sandy. From my side, there is a guy whining that I never hug him. The guy has red hair and freckles and honestly he looks ugly but I assume me and my current boyfriend broke up in dream but we still were attracted to each other even though I was dating someone new. In the dream I wanted to break up with the red head man, who I have never met before in my life, but I felt guilty about potentially using him so I didn’t want to break it off yet. I did not like him more than pity him though. I will call the red head, Steve.
The bell rings and the boys leave, while two of my girl friends walk me to my class. I care deeply for both, there is none of the red head “I only pity you” stuff going on with my friends. However, I rarely talk to one because she might be depressed and doesn’t answer the phone, we will call her, Sofia, while the other is my best friend, Usagi (She loves Sailor Moon). As we walk to class, the sky goes dark with clouds and as the rain falls, lightning nearly strikes us. We run to the furthest building possible, me carrying Sofia at one point while she says she’s going to vomit. The lightning nearly strikes four times before we make it to a building with cover. I keep carrying Sofia and she throws up on my back. I’m annoyed but I understand. Usagi promises to care for her on their way to class and both leave.
When I go to class, I ask for a spare sweater or jacket since my shirt is nasty. It smells awful for obvious reasons. My friend, Aaron, offers up his sweatshirt and I take it going to the bathroom. It’s a girls bathroom but it appears both men and women are inside studying French. I studied French in high school and I am afraid I can’t speak well so naturally they speak it better than me. I then lose my phone somehow while changing out of my shirt. I try to find it when an old man begins cleaning the faucet and when I smile commending him for his work, he smiles back.
I then just end up in a car in a parking lot with Sandy, my real boyfriend. I don’t remember what happened except I ended up being chased by a bull and had to find my way back inside even though I don’t remember why I got out in the first place. I can’t remember anything else so I think it ended there.

TL;DR
• Two boyfriends, one I am dating in real life, one that is ugly and doesn’t exist but apparently I’m cheating on him with my real boyfriend
• Two friends, one needs to be carried and throws up when I carry her
• Lightning storm
• I get chased by a bull
• Lose my phone while changing shirts

Last night, I’m pretty sure I had the saddest dream ever.
It was about a badger I had found digging holes in the ground. I went over to get a closer look, but I was spotted. Much to my surprise, he ran over to me, maybe knowing I intended no harm. He let me rub his belly and pet him, and he was so cute. We played around for hours, until the sun got dark, and he started leading me towards a small hut that was lit up. There was an old man outside the hut cutting wood, he paid us no mind. The badger then ran over to man, and nuzzling up against his leg. He appeared to be sad. The man did nothing, he just stood there, and continued his steady rhythm of chopping wood. After a few seconds he stopped. I could see him
Slowly turn towards me. He stared at me, smiled, and slowly faded away, along with most of the hut. The badger came back, and stood on its hind legs next to me, looking at the remainder of the hut. It was dark now, but I could make out what appeared to be at least part of what was previously a hut. The hut was black, and there were signs of a fire everywhere. The badger ran out to the middle of the rubble and began digging, revealing a rotten corpse of what I assume was the old man. It was not fresh, but had not rotted so bad to be more than a few weeks old. The badger found the mans hand, and licked it, a gesture of sorrow and longing. The badger then also looked at me. And vanished.
As I saw the poor badger vanish, it felt like I was physically hurt. Somewhere deep in my heart, a hole had sprouted open. I knew that I could never see that funny playful badger again. He had brought me to the hut to show me a true tragedy, he and his owner had been caught in a house fire and died.
Suddenly, I realized that I was also fading, and could myself become more and more transparent. When I next opened my eyes, all I saw was my bedroom. But my poor friend the badger, was not forgotten.

So, I just had this dream. I have no clue what the hell it means. If I need to give backstory I will.

This is the dream. My girlfriend and I are mercenaries for the US government. We are world renowned and all of US loves us. They call us Bonnie and Clyde. It’s great. One day she tragically dies on a job. No one knows but my boss and me. So we are famous and a TV show calls him to join. He asks me to send a picture of me smiling so he knows I’m getting paid well (as a joke of course). So instead I send a picture of my girl and I. Then the crowd of the audience goes silent. My boss (on the show) finally tells the world about her. Everyone is depressed. Then I send another picture. It’s a picture of the scars on my wrist that I made because of her passing. The caption of the pic says “What is valor, if there’s no one to share it with”. Time goes by and my boss calls me for one last job. I take it. I’m to impersonate a bad guy to get info at a bad guy headquarters. I go and the bad guys pat me down. As I’m walking to his door I see these pyramids next to me. Two to be exact. Really big. I look up at them and the sun shines from behind them. I get a headache and fall to the floor. My vision changes from red to grey, then red to grey again and again. I can hear my heartbeat and feel it shaking the earth. Then my heartbeat and vision stop being weird lol. A shadow rises from behind the pyramids and it’s a Pegasus. It swoops down in front of my vision and shortly disappears out of my sight completely. A skeletal creature was riding it. Then I wake up in my room but everything is grey. I realize it’s a dream so I start telling myself to wake up. Over and over again. It doesn’t work. So I hold my breath for 30 seconds. Then I actually wake up, gasping for air. That’s my dream.

There was a girl about my age and nothing sexual happened, but I felt like we were connected. There was this feeling inside me that she was my true love. I woke up and was depressed all day now thinking about her... I can't stand the fact that I won't find this feeling in the real world and now she is just a figment of my imagination. I want to meet her again, but know it will never happen. I just needed to express my emotions and thoughts. I think it's just a sign that I really want a girlfriend.

I don't remember the first part of the dream only what it led up to, where I'm being introduced to a daughter I never knew I had for the first time, if I had to guess she's something in between 6 to 10 years old, not sure.

in the dream, I kneel in front her, tell her I'm her Dad and she doesn't say anything but gives me a big hug, I then burst into tears.

I woke up pretty much then, feeling an immense sense of loss, it feels like I was given something wonderful and then had it taken away.

Anyone else have anything like this? I feel like I'd rather have had a nightmare than something that leaves me feeling depressed.