If you read about SSRI's (Zoloft is one) and study about the various kinds of side effects:

The most commonly observed adverse reactions in patients treated with ZOLOFT (seen in 5% or more of patients and at least twice as high as the control group) were nausea (25%), delayed ejaculation (14%), shakiness (8%), increased sweating (7%), lack of appetite (6%), and reduced sexual desire (6%). From: http://www.zoloft.com/about_zoloft.aspx

Side effects of SSRIs can include:

Nausea
Dry mouth
Headache
Diarrhea
Nervousness, agitation or restlessness
Reduced sexual desire or difficulty reaching orgasm
Inability to maintain an erection (erectile dysfunction)
Rash
Increased sweating
Weight gain
Drowsiness
Insomnia

From: http://www.mayoclinic.com/health/ssris/MH00066

If you tend to be of a nervous, agitated, or restless nature (or otherwise have anxiety as a component of your depression or illness); caffeine may make that worse.

Too, if you are sensitive to caffeine (whether or not you are on other drugs) and are using that to help self-medicate your depression:

http://www.mayoclinic.com/health/caf...ession/AN01700