E. Cobham Brewer 1810–1897. Dictionary of Phrase and Fable. 1898.

Blue Devils,
or A fit of the blues. A fit of spleen, low spirits. Roach and Esquirol affirm, from observation, that indigo dyers are especially subject to melancholy; and that those who dye scarlet are choleric. Paracelsus also asserts that blue is injurious to the health and spirits. There may, therefore, be more science in calling melancholy blue than is generally allowed. The German blei (lead) which gives rise to our slang word blue or bluey (lead) seems to bear upon the "leaden downcast eyes" of melancholy.