I had to stop consuming caffeine for health reasons (exacerbates my digestive issues). I found that it actually makes a fairly big difference, depression tends to sap your energy and caffeine counteracts that somewhat.
the way I have heard it explained with AD HD medication is that your brain is finally getting the proper amount of dopamine it should be getting, so it's no longer constantly searching to find the next hit, so it leads to your brain relaxing and then you getting sleepy.