I don't think about it much now, but before I started training, I would get long and, sometimes, quite severe bouts of depression. This was especially true during the winter months. I've been on meds for depression before, but they had side effects - especially when you're getting off them.
Although I still get a hint of depression now and then, I can say that I'm pretty much "cured" of depression. The only side effect is a 500+ lb deadlift. I can live with that.