Cold water swimming is currently considered as a treatment for. Several studies have examined the possible benefits, but results are not clear, partly because of the problems in excluding effects, and social / lifestyle changes.
Whether or not there are benefits - and many proponents assert that there are - the exact biological and psychological mechanisms are not currently known.
An example paper :
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.
Source : Medical Hypotheses, Volume 70, Issue 5, 2008, Pages 995-1001
A case report : Open water swimming as a treatment for major depressive disorder BMJ, Vol. 2018
Another study found that although cold water swimming gradually improved general mood (and helped with some physical disorders such as rheumatism) it also led to more referrals to doctors. See :Winter swimming improves general well-being International Journal of Circumpolar Health, Volume 63, 2004 - Issue 2
Editor's Note: There seems to be a lack of recent scientifically controlled studies into the subject.
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