I've never heard of that either! I suffered from depression both on and off the pill (a pill I'd taken for 16 years without any problems). I have, however, just stopped taking the mini pill as it made me very, VERY moody.

ETA: I agree with Glamourcide about Implanon - my sister had an awful time with it. Severe depression. She had it removed after a couple of months, didn't agree with her at all