I came across this following article, published by Floor van Heesch, PhD at the Utrecht University in the Netherlands.

It doesn't handle Alopecia in specific, but as it discusses an overactive immune system as a possible cause for depression, I thought I might post it and inform my hairless tribe of this new revelation.

The bottom-line is: not the fact that the patient has a decease, but the over-active immune system itself makes the patient depressed.

The inflammation (in our case of the hair follicles) can cause anhedonia (the inability to experience pleasure)

So if you feel low, it might not be because of your mental inability to cope with your hair loss.....
Mind you, this study has not been repeated with human subjects, but I find it interesting nevertheless.

Who knows, in some years time, we're able to blame our over active immune system for our bouts of depression!

Ps it's a bit technical, but feel free to google around for a less scientific article.

http://dspace.library.uu.nl/handle/1874/288214