I used to be sort of the same way with my select few shows; whenever I wasn't seeing something live, I was obsessively browsing online for clips and bootlegs, partly to help get my mind off of things going on in my real life. It's really not healthy, which I realize now; I've broadened my interests a bit and am also learning all about the beautiful thing we like to call "socializing."
I've found that expanding your interests can help with depression, to be honest. The more you have to live for, the happier you are overall. For instance, I've been looking for movies, books, shows, etc. that aren't exactly musical-related and allowing myself to get excited for those so that my mind isn't on musicals 24/7. (Star Wars is a major non-musical thing I'm pumped for right now, for example!) It's perfectly okay to enjoy musicals; I know I do. The problem, though, lies when that's all you have to look forward to in life, you know? It's always good to find more things in the world to be excited about.
"Was uns befreit, das muss stärker sein als wir es sind." -Tanz der Vampire