Hearing the usual stuff at this time of year about "getting through January" I reckon a lot of people find January 'depressing' because so many people around them, and the media, keep telling them they're supposed to.
I get that christmas/new year is a nice break and enjoyable time for many who like to/are able to take time off, relax, see family (yes I know those last two can cancel each other out) so it feels a bit of a let-down to drag yourself back into work when the relaxation and celebrations are over, it's cold and dark - and I realise this is my Northern Hemisphere perspective. Don't know about other countries but also, here in the UK concepts such as 'dry January' and 'veganuary' are attached to this month and probably feel to many like an enjoyment vacuum.
I love christmas but also generally like autumn and winter and don't mind cold dark days. Of course not everyone feels that way but I'm sure the constant drip-drip of "January's SO depressing" plays a large part.