Like ThatInfamousGrin said, drugs mess with chemicals in the body. In addition to causing a crash after the initial high it also causes dependency, making the brain think it needs the drug and giving similar feelings to those it gets if it doesn't get enough of other necessities, like food and water and air. Of course, that's in extreme cases with the worse drugs. Depression caused by lesser drugs is to do with chemicals and hormones and heightened emotion etc. Unfortunately it's been a long time since I've had to study it so I don't quite remember, but try looking up something like 'drugs and serotonin'. Check out endorphins as well, they also play a pretty significant role I think.