Could iron supplements give you depression?

I haven't seen this: I haven't seen iron supplements directly cause depression. However, i've seen people who are anemic from various causes, be depressed. If the anemia is an iron-deficiency one, replenishing iron (through iron supplements) generally helps. If the person has an iron storage disease of some kind, s/he might feel worse/depressed with iron -- and shouldn't take it anyway. See comment below.