The headaches could be from the ivig being infused to quickly, are you being pre-medicated before you infuse? the depression is probably your body reacting to the IVIG. But I would definately speak to your PCP about it. Im having a round of chemo and IVIG for pancreatic cancer and after each of the IVIG infusions i also feel extremely depressed. but i thought it was just my reacting to my diagnosis but then i noticed that i only feel depressed after the ivig. I was also having headaches and joint pain but my PCP just started me premedicating with benadryl and vicodin and they both went away. Hope yours does too..thanks for posting, until i read ur post I thought i was just imagining it.