First off, that is one of my favorite pictures of them! Second, yeah, I get that too sometimes. Their music is really dramatic, so it makes sense that some of it can make you feel depressed, especially songs like "Space Dementia" or "Showbiz". It seems pretty typical of Muse fans to have really strong emotional reactions to some of their songs, so you are not alone at all. I know that some of my friends and I have cried will listening to "Invincible", for example.