User blog comment:B214/High School DxD New Episode 3 Discussion/@comment-16075832-20130722160729/@comment-1359322-20130723033513

Ok i'll explain it in a simple way, Yuuto hates the Excalibur and has a personal vendetta against the sword. After losing to Xenovia, Yuuto's frustration got the best of him and he leaves Rias. Scared that his friend would become a Stray Devil (Devils that leaves their masters and are considred as criminal that are to be terminated), Issei decides to form an alliance with Xenovia and Irina, so that Yuuto doesn't become a Stray Devil. Also Saji was initially forced to join by Issei and Koneko but ultimately decided to help after hearing Yuuto's past.

In simpler terms, Issei formed an alliance because he wanted to help Yuuto and to not lose this friend. As for Xenovia and Irina, they wanted a higher chance of survival and success so they accepted Issei's offer.