I've suffered from depression since I was seven. My diet was neither vegetarian or low in fat. For some people, it just happens. I have found that at times I was very depressed when I was vegan, but a lot of it was due to the feeling of being alone in my beliefs and the immense amount of pain I felt realizing the amount of needless suffering there is in the world. Eating healthy, exercising, focusing on the positive, and medication have all helped at times.
Has anything else changed in your life that might have made you more depressed? Has your veganism been related to other negative feelings like feeling bad about your body/dieting, experiencing a lot of sadness about the treatment of animals, feeling like no one understands, etc.? The reality of the things that lead people to veganism can be overwhelming, especially when your experience the first shock of it all.
I hope you get this all figured out. Please ask your family and/or doctor for help if things get bad.