I used to get this depressive mood a lot when I’ve been on Corticosteroids in the past. Corticosteroids must have suppressed my adrenals leading to lowered Cortisol output. Cortisol is body’s natural mechanism to adapt with stress (mental & physical). Working out can be too taxing on compromised adrenals leading to symptoms of depression afterwards. Even nowadays I know it when I over train and feel like crap later. Go very gentle on the workout and avoid intensive workout by all means. 30mins of moderate workout should suffice. Getting enough sleep and daily calories is also critical.
If problem persists, then check your Cortisol, DHEA-s, Testosterone, and Thyroid. Godspeed