Ironically, I didn’t start taking cold showers because I knew they were healthy. It was just a moment of spontaneity one day when I was standing in the steaming hot water and for lack of a better word, realized I was “bored” with the consistent warmth. So I cranked up the cold water, and to my delight, it felt exhilarating. I started alternating between hot and cold on frequent occasion because it felt great and seemed to make me relaxed and refreshed throughout the day.
Researcher Nikolai A. Shevchuk believes they are more powerful than mild mood boosters, actually capable of treating some cases of clinical depression. In his hypothesis, Adapted Cold Shower as a Potential Treatment for Depression, he proposed that many cases of depression are caused by a lack of “thermal stress”.
For millions of years, our ancestors were exposed to a wide range of temperatures that come with fluctuating ambient temperature and swimming and bathing in cold water. Modern man, however, often lives in a fairly consistent room temperature. Shevchuk proposes that this lack of thermal stress is one factor that contributes to depression. Another factor is a genetic overlay on the first; some people have a genetic predispostion to be affected more severely by the lack of thermal stress. He elaborates on the argument, informing that:
“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.”
Let’s highlight a couple benefits for all of the non-neuroscientists out there.
Increase Beta-endorphin: The neurotransmitter responsible for making us feel better immediately after an injury. It works by binding to and activating opioid receptors, dulling pain, and increasing feels of relaxation and well-being. Additionally, it slows the growth of cancer cells , and is thought to play a role in behavioral patterns (i.e. stress, alcoholism), obesity, diabetes, and psychiatric illness. 
Increase Noradrenaline: A hormone and neurotransmitter useful for treating ADD, depression, and abnormally low blood pressure. The ADD medication Straterra works solely by increasing noradrenaline levels. A class of antidepressants, called SNRIs, function partly by increasing noradrenaline levels. The body manufactures noradrenaline from amino acids found in protein sources such as meat, eggs, and nuts. 
The proposed treatment procedure would last several weeks to several months. It would consist of one or two cold showers a day at 20 ° C (68 ° F) for 2 to 3 minutes, proceeded by a 5 minute gradual adaptation to lessen the shock.
Additionally, contrary to drugs that affect these brain chemicals, cold showers do not appear to have significant side effects or addictive potential.