@SameKeyThough I replied to your other post a few days ago.
It's very unusual to get emotional symptoms if you are using Utrogestan vaginally. It's absorbed purely in the womb/ vagina and doesn't enter your bloodstream or nervous system, or only very little and it's then more like a sedative rather than creating anxiety or depression.
I'm meaning this kindly, but is it possible that your previous anxiety issues are making you assume it's the Utrogestan causing some issues? You seemed to be sure that you would have side effects and that's a pretty sure way for them to occur.
You started a thread asking 'how long before side effects would show up' almost expecting them to. The mind is very powerful and it's possible to convince yourself of something and experience those symptoms if you believe they will occur.
Now that you are on HRT you should to try to continue for a few more days, then stop if you want to, for good.
If you still have periods of your own, it's not too much a problem stopping Utrogestan early as you will have a natural period to clear the lining. If you are post menopause, then you need to try to have a final bleed, and stop all the HRT at the end of that cycle.
The other option as some PPs have said is to increase your estrogen dose as this sometimes 'cancels out' any side effects of progesterone.
Looking at it from another perspective, are you having anything like counselling or CBT to help your mental health? Your GP is supposed to offer this as first line treatment rather than meds.