What is better? Working with or without protein shakes?

Im 16 and i have taken around 4 to 5 different types of protein shakes from vitamin shoppe. Lately with the shakes i have felt weird and there was a time when i felt really sad and depressed. Its hard for me to stop taking them but if it is bad for me then i am willing to put the effort to stop immediately. I have scheduled an appointment with my doctor to check my kidneys and my heart.