i get something similar i think. i feel as though the whole western culture is trapped in a consumerist capitalist bubble. and we the westerners are slowly but surely killing off all that is true and beautiful in the world, from the natural world to the eastern world to a life without adverts shoved in your face all the time. for me sgt peppers is pretty cleansing when i feel depressed. abbey road is great too, when "love you" repeats over and over again at the end of the album in the song "the end" i just get the shivers all over and have a religious experience, like all of existance is one with me. i also listen to lots of blues, but i dont think that makes you depressed, if anything itll make you less depressed. i dunno.
You can also look at it as a blessing. When you get depressed... and your high... that is a good time to look inward. Try and find out why your depressed - if there is a real reason to feel that way... and if there is anything you can do to change that. Don't forget.. Weed is not just to party and feel good with - its changed a lot of things about me that I never liked... It helped me become a better/happier person... perhaps its trying to show you something.
I always get an initial ancy feeling after I smoke a sativa but never that kinda feeling... hope ya feel better