Just started zoloft (sertraline) a couple days ago for gad and started feeling depressed- initial side effects?

Possibly: It is not a common side effect, but it has been reported. It is primarily an anti-depressant - so it should not cause it but all of these psychotropics do strange things at times. So, watch carefully - many side effects do disappear in a few days - others lessen - if you are not pleased, let your provider know. Find alternatives. Consider CBT therapy too to optimize treatment effects.