With a sufficiently cold blast of water it is actually IMPOSSIBLE to feel depressed, because Depression is nothing more than stagnant energy and hot/cold shower therapy works wonders for moving energy. It does this because the alternation between hot and cold contracts and expands the muscles and blood vessels, pumping blood throughout the body and deep into and out of the organs. Try alternating at least 6 or 7 times with really cold water and really hot water and you will feel the difference.
it is important to jump up and down and scream when you get the cold water :)