People who aren't used to live in areas where in winter it's rare to see the sunlight can find really strange the fact that long periods without receiving sunlight may affect some people. There are many consequences that may arise from such phenomenon, most notably a deficient absorption of vitamin D and changes in mood and behaviour.
The latter is a disorder known as Seasonal Affective Disorder (SAD - I wonder if that abbreviation is only a coincidence). But SAD is the most drastic scenario; on its early (and most common) stage it's usually called Winter Blues, a name given by Dr. Norman Rosenthal, one of the greatest researchers about the disorder worldwide.
How does the SAD feel like? It feels really, really bad. Having your mood changed from one day to another is very awkward, and it may be very maddening to unsuccessfully looking for an explanation to it. Normally, the winter blues brings the individual's mood down, to a point in which the symptoms are more or less the same as those observed in a mood depression: laziness, sadness, long periods of self reflection and lack of motivation are among the series of behaviours that the affected individual may experience. This disorder, if slight, may last for some days. Surprisingly, it affects a large portion of the population who live in the mentioned zones of the world. That would explain things like, for example, why does Sweden have one of the highest suicide rates in the world.
Still, I understand that there are some treatments that help to cope with SAD and winter blues- including outdoor sports and outdoor recreational activities. Especially for immigrants coming from countries where people are subject to suffer this disorder, handling the situation may be even more difficult than for people used to it. So if you think that you're experiencing winter blues, just seek for an expert's advice, try to be surrounded by your friends or significant others for as long as possible, or get some sunshine and smile!