SL retired a year ago.
@ TS - your main focus needs to be on getting better. Taking on the stress of getting a medical, doing ground school and flying would unlikely be helpful in recovering from your depression.
Once your depression has resolved and you want to go flying you will need to do some research and find out what your options are. Your details suggest that you are in Spain but you have looked at the UK CAA's guidance.
You can get a medical from any EASA competent authority but you have to bear in mind that your training organisation must be aligned with the EASA competent authority which has issued your medical certificate.
So a UK medical and a Spanish training organisation does not work.
A UK medical and a UK training organisation would, as would Spanish and Spanish.
And finally, the vast majority of folks on these bulletin boards post here to help people bringing questions or issues they want to discuss. But bear in mind that some people may have more knowledge than others and that not all suggestions are based on a scientific or accepted practise basis.
There is a good reason that the header of this particular forum reads:
Any information gleaned from this forum MUST be backed up by consulting your state-registered health professional or AME.