It is a huge change in a person's life, and major life change is something that often triggers depression in those with a disposition. That's not to say that everybody will get depression at university, nor does it mean that everybody can identify a specific trigger - but there are many that can, and this kind of overhaul (which is really what it is when you think about it) can often either make or break a person, at least until they learn ways of dealing with it.