Do these friends that you are helping have any other friends in whom they have confided? If there are other people who already know, and who are your age and potentially going through similar things, it can help to talk to them. This also has the benefit of not telling anyone your friend might not want you to.
One possibility would be to contact a counselor/therapist - if you are at school they will likely have one available to whom you can go in full confidentiality, and who will be trained and experienced to help.
If you believe that your friend may be in danger, for example suicide, or that things are getting out of control, they need help, and it is reasonable to break a promise of confidentiality if it could save their life. If you are in the UK, you can call the samaritans on 116 123
Also, please look after yourself, even if you don't have depression or any of the feelings that you are helping your friends with, it can be hard. Any feelings of blame towards yourself, guilt, uselessness are understandale but they do not apply. you are doing amazingly for helping these people, and in some cases even stopping self harm. The samaritans number isn't just for people thinking of suicide, it's for people in need of help, and this is very understandable with so much going on, and helping so many people. And, thank you. Even if you're not experiencing appreciation from your friends just yet, you have done an incredible thing for them; making their lives better, and stopping them hurting themselves. Please don't hesitate to reach out for help, for any of you.