The link between whey protein powder and depression relief may come from the amino acid L-tryptophan, also referred to simply as tryptophan. Tryptophan assists in creating serotonin, one of the brain chemicals responsible for moods. Many people who suffer from depression and anxiety disorders lack sufficient serotonin or have problems using the serotonin circulating in the body. A diet rich in tryptophan is one natural method many people try in order to relieve depression.