For me, consuming large amounts (>1g/lb) of whey protein is correlated with depression.

I have experienced this three times in 15 years. I recognized it during the first and most recent times, and in the middle case only upon reflection during the recent bout. My mood drags down, becoming depressed after about two weeks. After I stop consuming whey protein, my mood returns to normal within a few days. Consuming the same amount of protein from meats and soy does not seem to make me depressed.

I’ve found a few instances of other people reporting the same. Also, it’s worth noting that supplementing protein helps some people with depression. In my case, I think my body has a hard time digesting/processing the whey, which changes my body’s chemical balance, causing the depression.