I am guessing that it was a medical person at the medspa who suggested the pellets, and after they checked your hormone levels?
Yes, hormones can be used to treat depression, IF the depression is related to hormones. Just like menopause and PMS can be treated with depression meds.
Bio-identical HRT is not the same as hormones that are mass produced by drug companies. Bio-identical HRT is metabolically identical to what you body makes, where synthetic HRT is a foreign substance to your body. Like butter -vs- margarine. Suzann Summers wrote a couple of excellent books about Bio-Identical HRT, worth checking in to. I had a complete hysterectomy six years ago and have been on Bio-identical HRT since about two months after my surgery. I have used pellets and thought they are very convenient. They are actually the best route of administration for HRT, because your body uses what it needs when it needs it. And my insurance did cover most of the cost.
If you don't mind me asking, what medspa did you go to? I would consider getting a second opinion and doing some research of your own, so that you can make an informed decision.
If you have any questions I would be happy to try to answer them for you.