Yes, Prednisone is a killer... been on it for five years for polymyallgia and temporal arteritis (which doctors failed to diagnose for over a year, and finally WebM.D. helped me help the docctor). As I am tapering off now to 10 mgs. a day, depression is terrible. Like one post said, "I cry for no reason." Have tried several different antidepressants and the depression gets worse. I do exercise and try to stay busy, but when you're so "down," it's hard to get off the couch. L-Trypothan from the health food store seems to help more than any of the drugs.
Also, if your Vitamin D lelvel is low, that will make the depression worse. I had to tell my doctor that too -- asked for a test and level was low, although I was taking Vitamin D-3 and am out in the sun on my patio a lot. Now taking 50,000 iui of Vitamin D once a week .... this is only my second week so I don't kow if that is helping with the depression. It's difficult to go from a people loving, happy person to wanting to be left alone.