I know I feel better when I drink coffee--less anxious, more in control, better able to organize, a lot less scattered. This is what happens with a moderate amount, mind you; I get the jitters same as anyone when I get too much.
If you have a problem that caffeine is solving for you, you may easily get less depressed, especially if yours is in the significant minority of cases that is responsive to circumstances. Or it could just be that drinking caffeine helps your stress level, like it does mine. It might be a bit of a paradoxical reaction, because many people feel more jittery; but with my ADHD traits, I figure it acts a lot like a mild form of Ritalin and helps me cope better in general. Then, of course, there's the powerful placebo effect, which I get from coffee just because it tastes good and reminds me of good things--not something to ignore. "Just the placebo effect" is quite a nonsensical phrase--if you get a strong placebo effect from something, take advantage!