Well depression can cause many physical systems (headaches, muscle aches, joint pain, backaches and so on). Many of theses also come with a cold. I guess it is hard to know really and the only way to be sure is to talk to your doctor.

I've not been much help, sorry. I do know how you feel though. I thought I was just a sick child who grew into a sick adult. I took vitamin C, D and echinacea all to no end. I am now learning that my depression hid itself in what I thought were colds.