Depression is a bit of a strong word. It's definitely a bit disappointing and sad knowing there's no new episodes coming. But it rarely lasts for more than a few days, for me at least

It won't be long before you look back at the show as a fond memory. Rewatching a show with the ending in mind can be fascinating, as you get to see more clearly how it is building toward its ending from the beginning. It might give you an even deeper appreciation for the show