Hi there!
I don't get "real" periods very often (where I can say that I have ovulated and get a proper bleed) but when I do I notice this as well. I have Bi polar so my situation is a little different to yours but the hormones around AF trigger major manic episodes and can plunge me into depression that lasts 7-10 days after AF.
The one thing I have found the most effective is being really careful with my diet in the week leading up to AF- making sure I get HEAPS of fresh fruit and veg and plenty of iron. I think low iron can be a trigger for depression and your iron levels will drop around AF (I think).

I hope you find a solution that works for you soon *hugs*.