Yes, fertility problems can lead to depression. The expectations you had about how your life was "supposed" to work may not be playing out the way you'd hoped they would. The loss of the family you'd imagined having with your partner can repeat month after month. Feelings that your own body is letting you down can feel like a betrayal.
Most women grow up believing what they learned in high school — that it's easy to get pregnant. For many women, especially younger women, not conceiving may be the first really big disappointment they've had to deal with as an adult.
After realizing that nature isn't cooperating with your plans, you may begin to get more active in your plan to conceive by using ovulation predictor kits and basal body temperature charts. If those measures fail, you may feel as though another expectation about what should have worked is gone, and you can begin to have a sense of inadequacy.
As one expectation after another fails to materialize, feelings of loss and depression can begin to set in. If your friends and siblings are beginning to start their own families, it can make you feel worse about your difficulty conceiving.
For some women, feelings of depression may last for several days each month after they get their period. For others, the feelings remain, week after week. When depression gets in the way of being the person you used to be, seeing a mental health professional who specializes in reproductive issues can be very helpful.