Yes, you should talk to your doctor. Thyroid function tests may be in order.
From WebMD:
Depression, the Thyroid, and Hormones
I suffer from hypothyroidism alongside depression. The hypothyroid treatment has no noticeable affect on my depression, but it's likely I would be worse without it.
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My dog
mastered the "fetch" command. He would communicate he wanted something, and I would fetch it.