Depression is a debilitating mood disorder that is among the top causes of disability worldwide. It can be characterized by a set of somatic, emotional, and behavioral symptoms, one of which is a high risk of suicide. This work presents a hypothesis that depression may be caused by the convergence of two factors: (A) A lifestyle that lacks certain physiological stressors that have been experienced by primates through millions of years of evolution, such as brief changes in body temperature (e.g. cold swim), and this lack of "thermal exercise" may cause inadequate functioning of the brain. (B) Genetic makeup that predisposes an individual to be affected by the above condition more seriously than other people. To test the hypothesis, an approach to treating depression is proposed that consists of adapted cold showers (20 degrees C, 2-3 min, preceded by a 5-min gradual adaptation to make the procedure less shocking) performed once or twice daily. The proposed duration of treatment is several weeks to several months. The following evidence appears to support the hypothesis: 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. Practical testing by a statistically insignificant number of people, who did not have sufficient symptoms to be diagnosed with depression, showed that the cold hydrotherapy can relieve depressive symptoms rather effectively. The therapy was also found to have a significant analgesic effect and it does not appear to have noticeable side effects or cause dependence. In conclusion, wider and more rigorous studies would be needed to test the validity of the hypothesis.