What is the meaning of the French phrase 'avoir le cafard'?

The English meaning of the French phrase 'avoir le cafard' is to be feeling down, sad or depressed. In the Word-by-Word translation, the infinitive 'avoir' means 'to have'. The article 'le' means 'the', and is found before a masculine singular noun. And 'cafard' means ... 'cockroach'!