Here is a small article and a link if you want to read more. There is lots of PCOS info at this site.
11.2 Are depression and anxiety common in women with PCOS?
This is an area where more research is needed. It does appear that many women with PCOS suffer some physical or psychological manifestations of depression. There is some medical literature suggesting a link between diabetes and depression, and perhaps that might be extended to early stages of insulin resistance. It may be that the hormone imbalances, including hyperinsulinemia and hyperandrogenism, create a physical source for depression. Medications that help restore proper hormone ratios or antidepressants may help reduce depression and anxiety attacks.
Another possible source of depression is the effect that PCOS symptoms may have on self-esteem. Skin, hair, and weight can each cause discomfort in one's appearance that damage confidence. Infertility may also lead to frustrations with one's body and the feeling it can't do anything right, or perhaps a notion that one is being punished for some past action. Miscarriages are common in women with PCOS, and the grief associated with this type of loss can be far-reaching.
Anyone who feels she is showing signs of depression should consult her doctor as well as consider seeking emotional support. Be sure to find a doctor who is willing to listen to concerns and not dismiss this potential side effect of PCOS.
http://www.inciid.org/faq/pcos.html