Frustration and depression come mostly when we make gambling as the main way to get money and we play beyond our limits. I experienced such feeling too in the past just before I realized that gambling could lead me into the hard situation if I keep playing and obey my greed.
We might experience this kind of frustration before and i hope everyone here knows already what to do. Im a small time gamblet buy every time i lose money, i feel sad and frustrated I think its normal when you do gamble using your not extra money and hoping to increase it. Greed is always part of gambling, do everything to control that emotion.