I have a hard time resisting preaching this like an evangelist. I've always struggled with depression. Like you, when I started LCing, I didn't pay attention to gluten... although by definition, it was greatly reduced. A year or two ago, I started to take it more seriously after I started getting the mystery-arthritis symptoms. About three times last year, I had major "episodes" of depression, crying, rage at the DH, and paranoid suspicion of and anger at my friends. I knew it was irrational even as it was going on, so thank gawd I kept it to myself and just vented in a private journal.
After the fact, I realized I ate gluten. People might think this is psychosomatic, but I disagree. One time, it happened from eating burgers where I missed wheat flour as one of the ingredients when I read the package. (I had thrown the box out, and checked the next time I was at the grocery store.) I loved the burgers and ate all 8 of them in about 5 days.
I was on a celiac forum and found a shocking thread in which one of the members' therapists was soliciting personal stories of celiac disease/gluten intolerance and mood/psychiatric disorders. Shockingly, a lot of people were diagnosed with these disorders - bipolar disorder, depression, schizophrenia - long before being diagnosed with celiac disease, and their symptoms improved or disappeared once they went gluten-free.
It is absolutely worth a shot. I was a big proponent of that gluten-free January thing because once people go gluten-free, they often have health problems go away that they never knew they had in the first place.
I agree with the recent blog post (I forget which guy, but there's a link in the Media forum) who believes that celiac disease is only the tip of the iceberg; the people who are the most gluten sick.