Actually, exercise literature tells us that you’re not an odd case at all (Salmon, Clinical Psychology Review, 2001). And it makes sense, if you tip your body out of balance by too strenuous exercise, your body experiences stress. And a misbalance in this system is known to elicit feelings of depression.  
This is the dose response relationship in exercise. Interestingly, in adults this is largely determined by our genes (Stubbe, de Geus & Boomsma, Medicine and science in sports and exercise, 2005).