DO you only feel depressed after a climax? or do you feel more depressed? Most of us can really answer our own questions, the problem kicks in where we lack the -mental and pyicalally tools to fix it.
An orgasm does release powerful endorphins in the human body, maybe when you hit that point of ecstasy, the realization of your circumstance claims your vulnerability that you are feeling at the monument.

I would suggest you do some soul searching/meditation,question the feelings your feeling and when you feeling them, and if you do get to the conclusion that you are not your self-talk to some one. I think depression can be an awful thing to go threw.

all the best
xx