These are the studies of various cooling methods (cooling suit, cold showers, winter swimming and swimming in a public pool [weak cooling]).
Cooling elevates normal mood:
Huttunen P, Kokko L, Ylijukuri V: Winter swimming improves general well-being. Int J Circumpolar Health 2004, 63(2):140-144.
Berger BG, Owen DR: Mood alteration with swimming--swimmers really do "feel better". Psychosom Med 1983, 45(5):425-433.
Rymaszewska J, Bialy D, Zagrobelny Z, Kiejna A: The influence of whole body cryotherapy on mental health. Psychiatr Pol 2000, 34(4):649-653.
Hirvonen J, Lindeman S, Matti J, Huttunen P: Plasma catecholamines, serotonin and their metabolites and beta-endorphin of winter swimmers during one winter. Possible correlations to psychological traits. Int J Circumpolar Health 2002, 61(4):363-372.
Lindeman S, Hirvonen J, Joukamaa M: Neurotic psychopathology and alexithymia among winter swimmers and controls--a prospective study. Int J Circumpolar Health 2002, 61(2):123-130.
Flensner G, Lindencrona C: The cooling-suit: case studies of its influence on fatigue among eight individuals with multiple sclerosis. J Adv Nurs 2002, 37(6):541-550.
Cooling improves depressed mood:
Rymaszewska J, Ramsey D, Chladzinska-Kiejna S: Whole-body cryotherapy as adjunct treatment of depressive and anxiety disorders. Arch Immunol Ther Exp (Warsz) 2008, 56(1):63-68.
Wehr TA, Sack DA, Rosenthal NE: Seasonal affective disorder with summer depression and winter hypomania. Am J Psychiatry 1987, 144(12):1602-1603. (This study describes one female patient who tested cold showers for 5 days).
Yavari A: The Effect of Swimming in Reduction of Depression in University Male Students. Research Journal of Biological Sciences 2008, 3: 543-545.
Heating of the body improves depressed mood:
Koltyn KF, Robins HI, Schmitt CL, Cohen JD, Morgan WP: Changes in mood state following whole-body hyperthermia. Int J Hyperthermia 1992, 8(3):305-307.
These references are from Nikolai Shevchuk's book, which can be downloaded for free on Amazon. The book also describes an "antidepressant diet".