I did some searching on PCOS and depression and collected about 65 study references. Many of the studies are not specifically about PCOS, but PCOS features, like insulin resistance, and their association with mood.
One of my objectives was that I wanted support for the idea that treating PCOS can help treat depression. I don't think many doctors understand that or appreciate the connection between depression and PCOS.
I included the abstracts and bolded the good parts to hopefully make it easy to just scroll down and read the highlights.
http://pcosfaq.com/mood
Mary