“Slynd” Progesterone Pill- Depression?

Hi, so I’m on the copper IUD as my main contraceptive but my Gyno put me on “Slynd” progesterone only pill to help with my PMS insomnia and acne. I started taking it 6 days ago and as of three days ago I’ve been feeling very depressed. I struggle with depression anyways but both my Gyno and psychiatrist said the pill shouldn’t interact with my depression meds. I looked it up online and read the paper in the box, it’s not a common side effect. Has anyone had experience with Slynd/Progesterone pill and having your mood be suddenly drastically altered down?

Also, she had me start it on the first day of my period. I sometimes feel down the first day of my period, but not still by day 6.