The data is sketchy at best but there are some indications that weed smokers are already using weed to self medicate their depression. And when you run out, the depression can kick in again for a few days until you sort of detox. There is also some evidence (again, sketchy at best) that long term use can lead to some depression but it's unclear which is the cause, the chicken and egg thing. from personal experience I can't say as I've ever felt depressed when I'm smoking but I know that there is a definite couple of down and cranky days after I run out and when I find out that there is more coming I definitely feel more up and happy in anticipation of the next connection.
Then again, psychologists and psychiatrists tend to think everyone is depressed or emotionally disturbed in some way.