Yes, that happens very often. On the days when I'm going to work, it's usually worse.
I also think that it's often caused by my deep raw sad feelings (about not having friends, about not having a successful career, about having failed in so many ways in life, about the bleak future, about worrying my parents and so on) that are usually hidden while I'm fully awake, becoming very intense in my dream. When I wake up, all those intense sad feelings that torture me in my dream linger for a while and make me depressed. Dreams often bring your subconscious feelings to the surface and you cannot control them. Well, I think that's the reason why I feel so depressed when I wake up.