Neither Utro nor Provera affected my mood as such, but I pretty much had insomnia the entire time I took Utro, even though I was using it vaginally, which did give me some depression and anxiety.
Occasionally I might have some sleep issues for the first couple of days of taking Provera, but it settles pretty quickly. The next time I take it I am going to experiment with taking half a dose for a couple of days, and then increase it to a normal dose for a further 10-12 days, to see if the slower rise of the progestin helps with this. It's so much easier to adjust doses with the progestins to suit individual women, than with the "one dose fits all" approach of Utrogestan.
Anyway, all things considered, I'm much happier on the Provera. My doctor is also able to monitor my use of it now. She was aware I was getting Utro online, but she was always a bit cautious of it after reading the information I gave her on it.