@Halano Yeah, the dependencies are downloaded (or maybe they're cached as someone else mentioned?) and compiled together for each project in the "target" directory. If hard drive space is limited on your machine, you may want to consider deleting the "target" directory of older projects to restore space.
This is done for special reasons that I'm not knowledgeable enough about to explain fully.

Edit: here's a Reddit discussion about it.
https://www.reddit.com/r/learnrust/comments/gh120x/lots_of_dependencies_what_happens_at_compile_time/