I was worried during that stretch of time that maybe the caffeine had been masking some underlying depression I already had, but a couple of weeks in it passed, so I think my brain just needed to rebalance itself to the new caffeine-free reality.
I'm glad I quit (less anxiety, better sleep, I'm finding it a lot easier to eat healthy while not buzzed on caffeine all the time, and the depressive episode was temporary) but going through that makes it pretty easy for me to believe caffeine can have rather powerful effects in this area.
But your experience mirrors mine in going cold turkey which I think demonstrates that caffeine can cause both physical chemical dependence, and psychological addiction.