Question
Is there any relationship between excessive exercise and a post-exercise depression period?
Answer
I'm not sure whether you mean long-term excessive exercise which seems to have resulted in depression, or a period of intense exercise which is followed by feeling depressed for a while.
A high-intensity exercise session usually results in elevated mood in most people, but if someone exercised beyond their capacity and was extremely tired, then they could also experience a depressed mood. However, I have found nothing in the literature about this as an observed phenomenon.
Long-term excessive exercise can lead to overtraining, one of the symptoms of which is depression. So in this case, there is a definite relationship between excessive exercise leading to overtraining and the onset of depression.
See the article on overtraining in the Fitness Online section.