Depression is often caused by sleep disordered breathing. You feel tired, run down and always low on energy, and the tendency then is to eat more and exercise less.
The general feeling of ill health and lack of proper sleep can cause mood swings and symptoms of depression. It is fairly common for patients to see their GP when feeling this way, and a good number of these are misdiagnosed and treated medically for depression. A combination of drugs for depression may be prescribed and this may improve the situation.
However, if sleep apnoea is the root problem then only effectively treating this will alleviate the symptoms of depression. With proper sleep, you'll have more energy.