The holiday season is supposed to be "the most wonderful time of the year," but in actuality, it is a stressful time and that can cause mild depression in people. There is always a lot to do -- decorate the house, shop and wrap gifts, bake, entertain, and other social events. Any of those things may be great, but when considered in their totality, it can be overwhelming. People get thrown out of their routines and can have a hard time coping.
There is also the build up of the expectation of it being a wonderful time of year. Then when its not all wonderful there is a let down that may be mild for some, and deeply depressing for others. Everyone wants to have a perfect holiday, but that's not realistic, and that realization can have negative psychological consequences.
Another thing about the holidays that can be hard is that it is a time that is supposed to be about family, but not everyone has good relationships with all of his or her family, or a family member who has passed away or is gone for some reason is especially missed, and that can be hard as well.
Christmas can be wonderful -- but not for everyone.