I get headaches really bad (often to the point of throwing up from the pain) the night before my period starts every single month, and also noticed depression and fatique around then too.
Finally found out I was becoming anemic just about every month and by the time my body would normalize it would start again. The anemia was cauing my headaches, fatique and depression like symptoms. I ended up going the minor surgery route and getting a Novasure uterine ablation. It's still recent so I am waiting to see full results, but my energy level if SOO much higher and the depression is gone. This month my headache was about half as bad as usual. An ablation doesn't affect hormones, so for true PMS depression it wouldn't help (I can still get PMS, period cramping, etc), but if your depression is caused by something like mine (a direct result of the amount of blood loss) that may be something to consider.
A gyn should be able to help you pinpoint the causes to know the best way to treat it.