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Addiction is considered a mental illness according to the Diagnostic and Statistical Manual of Mental Disorders (IV). There is a very strong link between all addictive processes and other mental illnesses. The research is inconclusive regarding which problem occurs first and it may be different for each person.
Depression (or depressive symptoms) is very common prior to use, during use and after use cessation. If you feel sad, lethargic, empty (a very common expression used by addicts), lonely, worthless, hopeless, or agitated, then you may be suffering with depression. If these symptoms are severe and persist over time, you may be experiencing a Major Depressive Episode. It is recommended that you work with a therapist/psychiatrist to determine if you need psychological or even medical support to battle this depression. Again, it is important to work with a professionally who is well-versed in the disease of addiction so that you receive optimal support. If you are feeling suicidal, homicidal, or having any hallucinations, it is crucial that you check yourself into an inpatient psychiatric facility to meet your immediate needs.