Depending on the rest of the sentence i.e., context; depressing, depression, or depressing event or situation. Bummed out, bummer.
1) Aw dude ... you're giving me a down head! (You are depressing me)
2) Sorry to hear that ... that's a down head. (That is a depressing event, or bummer)
3) I'm in a down head (bummed-out mood ... though it is rarely used in this way, I would certainly understand what the person meant if s/he said this)
Following a stupid comment the personwho said it must bend at the neck and look at the floor. thus putting their head down in an act of shameful embarrasement. After this the person cannot be made fun of.