I know hormones have to play a role in having more depression and anxiety during your cycle.
I tell myself every month I am going to keep a journal when I start feeling really bad and see if it is around my cycle, but unfortunately being I am 47 I have Pre menstrual syndrome, menstrual syndrome, and post menstrual syndrome, so some months are better than others.
I actually feel worse before my period, typically when I start(other than the cramps and headache)I feel better till like the last day and then I seem to cry over the kindness of the kitty litter manufacturers for making the litter lighter so it is easier to carry.