You've heard of the baby blues right? Well the post-academic transition involves a similar form of emotional upheavel (although not nearly as hard, and hopefully involving less vomit and more sleep). Like other post academic bloggers have written, it's normal to feel sad about the change you're going through.
Don't get me wrong, I am not talking about clinical illness here - more just the occasional down moments you have when you think "WTF is going on here? I thought I had my sh*t together and now I realise that I was totally wrong...". If you are having these down days on a regular basis, then get thee to a health professional ASAP. They have pills and therapists for that sort of thing. Don't suffer in silence thinking what you're feeling is normal. It isn't. But like I say, occasionally feeling down is. (How often is occasional is up to you to decide, but I believe the aforementioned health professionals say that persistant sadness for more than two weeks is a clinical condition, not a "mood")
So once you get a job and you can start paying off your student loans and the rent and splurge on some new shoes and haircuts and expensive adult beverages instead of that cheap crap you've been allowing yourself only once a week, then it would seem like life should be hunky dory. But then you find yourself inexplicably upset that your career is over, you are a failure, you have nothing to show for all those years in school and you will never find anything intellectually stimulating ever again.
Yes, as other post-aca bloggers have noted - it takes time to process the complex emotions attendent on such a big change. It's normal to feel a range of emotions when you go through a major life transition like the loss of your professional identity, the security of a career path that you know all too well, and the years of effort that have gone into inching your way along that path. You will have good moments and bad as you work out what comes next. You may find yourself lurching from a feeling of being delirously exicited about being a grown-up with a real cash flow instead of a potential one, to suddenly feeling like you're a total failure because you couldn't get that dream aca job all in the one afternoon.
But when those moments hit I try to take a deep breath and remember all the personal reasons why I decided to make that change. All the internal reasons, not externally imposed ideas from former colleagues and the like. After all, they are not me, they are not living my life, they don't have my values, and they don't have my personal constraints. Sometimes these moments of crisis hit when I least expect it, so it can be hard to marshall my resources and remind myself that I am doing the right thing. Ultimately though, the mood does pass. I take heart too that as JC says, I can expect these moments get further and further apart as time goes by (see http://leavingacademia.blogspot.com.au/2012/05/on-sadness.html).