My guess is:
The days of the week
All alone, I'm afraid I can be a little bit depressing
If we start the days of the week with Saturday, Saturn in Roman myth can be considered a foreign or immigrant god - having been expelled by Jupiter. So alone and depressed. Also the connection to Kronos can relate to father time.
One of my friends quickly comes along to lift the mood
They tend to bring their sister along, though, and we soon start squabbling
Sunday and Monday: Sol Invictus and Luna are brother and sister who ride their chariots to raise the Sun and Moon (or to raise themselves). Sol Invictus is also the god of soliders - so fighting. Also, Sol Invictus is considered by some to have overtaken Saturn as the most powerful god (Constantine struck his coins with Sol)
Their brother, the fourth of our group, doesn't help matters
Tuesday: Mars is next. Mars is the god of war.
The fifth and sixth bring expensive gifts to try and calm things down
Wednesday and Thursday: Mercury the god of wealth and Jupiter the sovereign god, the politician.
And when the last appears, and all seven of us are together... well, I can't tell you about that. It's our secret
Friday: Venus is the goddess of love and well, those "things that happen behind closed doors and under covers"
Other reason for my guess:
LogicianWithAHat's comment that implied either two of the answers would be women or men (I'm going with women)