Wow. Sounds like a good time for a time out.
It's hard to go from societies "normal" level of honesty to the deeper levels of honesty required to maintain a polydynamic.
I would say that it's way too soon to say if it can work.
As for the depression, that is likely a symptom of not having your needs met-which you explain in your last line or two.
It's important that you all have an outlet-someone outside of the dynamic preferably that you can talk to honestly-and the freedom to openly address your feelings, struggles, fears, anxieties, happy moments with one another as well.
"Love As Thou Wilt"