is it perfectly normal. No.
is it common. Yes.
So in answer to your question, No it is not perfectly normal to be depressed at any time of the year but it does seem to be more common during the Holidays, and/or winter months for many many reasons.
Money issues and the pressure daily to spend or shop. The change in light patterns and time changes. Cold damp weather and the tendencies for people to stay inside and eat more. The memories of childhood feelings and events at Christmas time you feel pressured to recreate for your own kids. Or the memory of horrific family events at Christmas, like alcoholism, deaths, family fights and so on. The tendency for families to revert back to childhood places when they get with parents and siblings for Holiday meals.
It's all too much pressure for some to have to remember or want to remember childhoods, provide the same type of Christmas and be happy the whole time too.
at 8:09 AM on Nov. 16, 2009