Cannabis is generally considered a depressant. As a result, it can cause you to feel slowed down, and even down in the dumps. Some studies have suggested that cannabis's mood elevating properties are more impactful at low doses, while high doses of cannabis can create poor moods after long term, heavy use.
Cannabis is also highly variable from strain to strain. I have found strains that are outright miserable to smoke and some that just leave me wanted anything else. It is also possible, that from time to time, you are finding strains that you do not enjoy and that there are others that you do.
You could also find that you are predisposed to depression and that it seems like the cannabis is causing this, but actually it is just coming through when you consume the plant.
Taking these three chunks of info into consideration, I try to monitor my moods and strains together to draw any correlating conclusions from my own use. It could be that you are not finding the best strains, it could also be the amount of cannabis that you use, and it could also just be your own body.
To alleviate this I would take a journal of my moods and cannabis use in a set period of time. Try to see what correlates and see what you find about yourself.
I have noticed that strong Indica strains can sometimes lead to deep personal reflection and thought which can be a downer and considered "depressing"- it is important to remember that people all react differently to cannabis so one strain that is an anti-depresent for one person may not work perfectly for yourself.
I would recommend remembering the strain name that made you feel depressed and stay away from that one particular kind. Hope this helps :)