I went through Pegasys treatment and it absolutely can cause severe depression. Its one of the first major symptoms of the treatment listed. I started on anti-depressants a couple months before I started treatment to find the one that worked best for me. During treatment I throttled up to very high doses of anti-depressants (60mg Lexapro at the highest point). I don't know that I would have made it otherwise. I sobbed for weeks at a time, I was severely depressed. I could tell myself it was the treatment but also knew I was on Lexapro to help with this temporary condition that was monitored and managed. It did pass.
Please discuss this with your Dr. and do everything you can to prepare yourself for success with your treatment. Depression during treatment can be managed. Its better to be prepared now & expect it, than to drop out because you can't get through the 4 weeks or more it can take for the anti-depressants to fully kick in.