At the risk of annoying some scientists here, I think that the reason depressed is listed as a side effect of antidepressants is because depressed people take them, and legally speaking that means there's a correlation between taking the pills and being depressed.
More likely, this exchange happened in a clinical trial:
Researcher: "So, you've been taking this antidepressant for a two weeks now. How do you feel?
Patient: "Still kinda depressed."
Researcher: scribbles note:
patient depressed after taking antidepressant; side effect, ineffective medicine or coincidence? Can't disprove the first, must add a warning.