I can speak to colors and moods association in early Modern Europe very generally. The color-mood associations are due the the Four Hum(u)ors or temperaments. This is the ancient idea that health is mediated by four constituent body fluids -- blood, black bile, yellow bile, and phlegm. We don't REALLY know where the idea of the humors started, but they're usually associated with the Hippocratic school, though it's really with Galen where they truly became formalized. In many ways, the Humors were the first naturalistic model of medicine. The Hippocratics felt, just as Empedocles had asserted that all existence was made from the four elements, all disease could be explained in terms of imbalance from the four humors. This was in opposition to the idea that disease came from supernatural causes. Humorism, as it became to be known, was not the ONLY explanatory model in the ancient world; we know of a model based on atomism, and there were fierce debates between rationalists and empiricists (a fascinating position whose writings I wish had survived, because it parallels modern EBM in some interesting ways) in Rome during Galen's time.

But Galen was a supporter of the humours, and when Arab scholars began their attempt to categorize medical knowledge, it was Galen that served as the model. By the time Avicenna published his Canon of Medicine (still used until the 19th century!), humorism was the primary explanatory model. These Arabic texts were the basis by which Italian, and later more European scholars became aware of Galen and Hippocrates, though from the 15th century on they were usually translating the originals.

So the Greeks would have recognized that imbalances of the humors could cause what we today would call psychiatric disease. In particular, an excess of black bile could cause "melancholia," which appears to have been not uncommon in the ancient world (as well as today). But with the Arabs and Europeans, the gradations and associations with the humors became far more complex, with associations with the zodiac, certain foods, &c. In particular to your question, colors were ascribed to them -- and as you could guess, "blue" was ascribed to black bile, and melancholy in particular.

Red has typically been associated with cholerics, caused by an excess of yellow bile, though also with sanguines. I have no idea where green with envy comes from (though Dr. Google tells me Othello).

I hope that provides some context, though it doesn't REALLY answer your question. If you're interested in reading more about the long-lasting influence of the Four Humors, I recommend Passions and Tempers by Noga Arikha.