This claim is true.
According to John Hopkins Medicine, Seasonal affective disorder (SAD) is caused by, "Less sunlight and shorter days are thought to be linked to a chemical change in the brain" continuing on to say how the sleep-related hormone, "Melatonin," is associated with SAD. Season changes also correlate with how much sunlight we receive during certain parts of the year. John Hopkins continues to say, "The body naturally makes more melatonin when it's dark. So, when the days are shorter and darker, more melatonin is made." The website then lists symptoms of SAD, one of which is sleep deprivation and sleeping too much. Sleep is correlated with depression.
John Hopkins Medicine
According to the article from The National Library of Medicine, sleep deprivation directly relates to the onset symptoms of depression. Therefore, the changing of seasons affects sleep, with may directly result in depression.
The National Library of Medicine
Cleveland Clinic mentions how the season changes may cause a chemical imbalance in the brain saying, "Since sunlight helps regulate serotonin, a lack of sunlight in the winter can make the situation worse. Serotonin levels can fall further, leading to depression." This imbalance is more prevalent during the winter times when the days are shorter than they are in the warmer times of the year.
All these credible sources give factual information on the correlation between seasonal depression and the change of seasons. Therefore I would say this claim is true.