All benzodiazepines can cause or worsen depression. Klonopin, from what I've read, is the worst offender, which is unfortunate since its now so popular for psychiatric indications (Klonopin was mostly used for epilepsy at first...).

Having said that, treating anxiety and agitation can benefit one's mood. Xanax can lift some peoples' mood. From what I've read, xanax was used for some cases of depression, probably more before Prozac and friends caught on and xanax was still on patent (funny how patented psych drugs are good for --everything--...until they go generic...).

I'm glad to be off Klonopin, personally. For me, Ativan as needed was a better option than Klonopin 2-3x daily, all the time.