One researcher's hypothesis: "Exposure to cold is known to activate the sympathetic nervous system and increase the blood level of beta-endorphin and noradrenaline and to increase synaptic release of noradrenaline in the brain as well. Additionally, due to the high density of cold receptors in the skin, a cold shower is expected to send an overwhelming amount of electrical impulses from peripheral nerve endings to the brain, which could result in an anti-depressive effect."

http://www.ncbi.nlm.nih.gov/pubmed/17993252