Bone pain isn't unheard of with chemo or immunotherapy, but you should definitely let your doc know. There is likely something to help alleviate the pain. Unfortunately, with chemo, most side effects continue with each treatment, but immunotherapy is a bit different in that side effects come and go. Your depression could be a side effect of your treatment or just life in general. Your docs can also suggest some things that might help with that too. The nice thing about it is that you can accept or decline whatever suggestions they have for both issues, if you don't like their suggestions. But it's important to report to your docs and nurses what you are experiencing.