I hope this helps: http://www.contracept.org/docs/paraguard-doctors.pdf. Depression is a recorded side effect of all hormonal birth control methods. The person you talked to was uninformed; while less hormones are released into your body then with the pill, it is still plausible, even likely, it is causing the symptoms you described. I looked at several sources for paragard (they have a crappy site by the way) and it doesn't have any reported mood related side effects. Since it is a non-hormonal IUD this makes sense. However, it does have many other side effects, and whether you are willing to risk those is your decision. Good either way.
Note. If you are interested looking into other forms of birth control try and find a pdf of the prescribing information (googling whatever you are looking for and that term is a good start). These tend to have good general information. For something more specific try google scholar.