Absolutely yes. It is not the format of the session, but the intervention used during the session, that is the focal part of therapy. For patients of depression there are several interventions used in both the individual and group levels.
CBT- Cognitive Behavioral Therapy (Ellis, 1950; Becks, 1960), which is the most widely used methodology for intervention, entails a complete interaction between the therapist and the patient. What happens is that, after an initial interview, questionnaires, and open communication, the therapist will start assigning specific behavioral and habit-forming exercises to help the patient dissociate an impulse from a thought, and then with a behavior.
CBT is commonly used because it assumes that there is a domino effect when it comes to trauma. Input or stimulus, which causes a negative reaction, will traumatize the patient. The defense mechanisms of the patient will lead to the creation of habits that fend off the emotional highs caused by the stimulus. Once that chain starts to break, the client will start looking at the stimulus in a more rational way. One thing will no longer lead to another--at least in theory.
Once in practice, and if the client is willing to do what the clinician says, the interventions will produce results that will manifest in less trauma and less behavioral responses to stimulus. This is when the therapist will move the client to a group-based environment, while still meeting individually as well. If you see shows such as Celebrity Rehab, or Celebrity Couple Counseling, et.al, you see that the patients (clients) meet with the clinician in both ways. Both exchanges are equally necessary for recovery.
In a group-based environment, people share their own progress on CBT. Moreover, they offer ways to get over some of the emotional burdens that brought them to therapy in the first place. You may ask, why not start in group from the beginning? The answer is another psychological approach called Client-Centered Therapy developed by Carl Rogers (1940). CCT, or Rogerian therapy is basically the origin of CBT, adding the psychotherapeutically constant component of discourse psychoanalysis, and ongoing conversation. CCT and CBT can be used together. However, CCT entails that the therapist will take the time to be one on one with the client, get a program going, and see results before moving the client to a secondary, world-like environment in the presence of others.
Therefore, it is definitely possible to do therapy in both group and individual settings. Keep in mind that the clinician will determine what is the optimal amount of time of exposure to big groups and which is the optimal amount for individual time.