Yes, benzos are known to cause depressive symptoms.

I experienced depression while on Ativan, and it was one of the main reasons that I weaned off it (the other being that my body was becoming dependent on it). I was taking the Ativan for anxiety, and instead learned coping tools such as deep breathing and meditation rather than relying on a medication that made me depressed. It also made me unable to cry, which was a very odd feeling.