Alcohol/marijuana have never made me depressed before! If you're already depressed, they might enhance it, but I don't think they'd do that kind of thing of their own accord, would they? I'm no scientist, by any means, just an idiot.
You go and read Google if you want the answer dammit!
I think it could be one of those vicious circle things, depressed because you drink, drink because you're depressed. Alcohol effects some people in strange ways though, some people always cry when they are drunk, some people want to fight everyone in the world, etc.