Candida can definately cause Depression and anxiety, primarily because candida itself as an organism gives off more than 70 neurotoxins. One of those toxins is acetaldehyde, an alcohol, which is a known depressant and the main cause of brain fog. I was on Effexor for years for anxiety and depression, but after being on the antifungal Difulcan for a week, I was able to go off of Effexor last year. I don't feel any Depression or anxiety at all anymore. Getting rid of Depression and anxiety is a real benefit to addressing candida overgrowth.
Here are some articles that discuss depression, anxiety and candida: