Depression a Side Effect of Birth Control?

I read the insert of my birth conrtol packs and it said that depression could be a side effect for some people on the pill. I don't know if it's that or the fact that I'm just starting to rebuild my medication level that I'm starting to seem a little mooder than I was before I started on the pill. Is this a psychosomatic thing or should I be worried? Also how quickly does birth control work? I noticed a definite change in flow my cycle even starting on the day I first took the pill. Is that normal or is it yet another thing I should be worried about? Help!