where did you live before? Do you live alone? Have you suffered depression before? How long are you planning to live there?

You know culture shock might as well be one of the causes. Short days (Scandinavia is notorious for their depression rate). Not knowing the language could also cause anxiety, because you feel appart of the happening - are you learning it?

I am not saying it's not a medical problem, might be. But it might be a problem of new immigrant in new land... I know people who moved to foreign countries and became absolutelly overwhelmed... I live in foreign country too, I knew it was temporary and I knew the language, but it was frustrating at times.

Don't know where you live, but aren't there other foreigners you could talk to, maybe even from your place? I am not saying you should cling to them, but it could be interesting experience and might help. Do you have some friends among native?