Absolutely. I imagine everybody gets a little down, especially if they have lots of cold, gray day. You're right though; exercise DOES help. I find having a very established exercise routine helps in the winter. Frankly, I kind of like winter for this reason; I tend to be more disciplined. Make your routine doable, but stick to it. Don't give yourself even a minute to talk yourself out of it. When I used to belong to a gym, I went immediately after work. Going home first was a no-no.
Light therapy. I don't use this, but I do make a point of getting outside when the sun is out, even if it's cold. For the same reasons, you might consider a vitamin D supplement.
Do want makes you happy. Having coffee with a friend, seeing a movie, going to yoga. Whatever it is, just make a point of doing it. Make plans, finish projects. Be productive.
Get enough sleep, eat right and drinks lots of water. There's nothing like some winter weight to make you feel even more blah.
I'm big on doing a lot of little things for myself and my mental health on a regular basis. I also try to take it one day at a time. If I think of getting through three months of winter, I get down. But one day? I can do that.
Live with intention. Walk to the edge. Listen hard. Practice wellness. Play with abandon. Laugh. Choose with no regret. Continue to learn. Appreciate your friends. Do what you love. Live as if this is all there is.
--Mary Anne Radmacher