A couple years back, I read that low cholesterol levels caused depression/suicidal tendancies in study subjects. Though not every vegetarian has low cholesterol levels, those that stay away from junk foods are probably more prone to low levels than meat eaters.
I have had my cholesterol levels measured twice. After less than a year as a vegetarian(at age 17), my level was 108. After almost 10 years(about age 25 or 26)it was 114. So, they are fairly low and I sometimes have problems with depression. I have been more and more happy so maybe my levels have gone up some in the last couple of years:)
Anyway, if you type the words 'depression' and 'cholesterol' into google, you will get a lot of possibilities for learning more about the phenomenon. Here are two: