From an article on American football by Emily Oster at FiveThirtyEight:
There is also some direct evidence — again, from studies of professional players — linking recurrent concussions to depression. One study of retired professional football players showed that those with three or more lifetime concussions had three times the risk of depression relative to those with no concussions. Depression is a well-known risk factor for suicide; however, the facts here do not directly link concussions and suicide.
The coverage is on American football but is relevant to football, given the amount of head collisions we see each year.