@moglula , the following details about Copaxone states that studies have shown that Copaxone does no cause depression :-
It also goes on to say that depression is common amongst MSers. In your case, your diagnosis is still very recent. The adoption of a Disease Modifying Therapy (DMT) will potentially make this diagnosis feel “real” for you.
Acceptance of a diagnosis of this nature can take a year or more to achieve, during which time you’ll probably go through a range of emotions. This is similar to the grieving process of a bereavement.
Yes, discuss this situation with your GP, but also contact your MS Nurse, so they’re aware of what’s going on.