Some might, it depends on the medications.
But another side is most of us get sick far more easily, we often do not eat as well as we should, look after ourselves, sleep as well as others or exercise properly - its a combination of factors but some medications can depress the immune system yes, and depression itself makes people sick.
I have to agree with Monkey. I don't have the best immune system, like many, so i pick up most bugs that fly around. I do know, that now that I'm out of depression, I feel phsysically better most of the time. I used to get wicked headaches, heartburn all the time, and nauseau from stress. I think depression lowers your immune system. I don't think I've had a headache in 2 months, (big wow for me).
What med are you on? that might help folks respond to you? Do you keep in constant contact with your GP? Have you had your yearly checkup? . My pdoc insisted that there be constant communication. Every session that I have, the notes are faxed over to my regular doctor, which is fab, I don't have to explain anything. I have a team working for me.
Maybe talk to your pdoc, let them know you aren't feeling that geat, it could be a reaction or allergy instead.
Much luck to you.