There are several classes of drugs that are known to have depressive side effects (including some heart medications that affect ion channels, and some medications that affect hormones). Usually these are quite minor as a medication would not be approved by the FDA if depression was a major side effect.

Currently the FDA has a black box warning for suicidal ideation for SSRI's (an anti-depressant). Generally the increase in suicidal ideation occurs within a month or so of initiating treatment before the risk begins to reduce to that of someone without depression. The mechanism for this is unknown although its been proposed that there is a brief phase where the treatment increases motivation/energy before mood. There have been several critiques of the link between suicide and SSRI's with the main points being that the link exists in adolescents and children but not adults. Thus pooled analyses lose this distinction.

Suicidal ideation following anti-depressant initiation - https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9178080/

Critique on the link between suicide and anti-depressant-
https://pubmed.ncbi.nlm.nih.gov/31130881/

Medications with depressive side effects - https://www.ncbi.nlm.nih.gov/pmc/articles/PMC2729620/

For those seeking help regarding suicide -
https://988lifeline.org/