is, unfortunately, a fairly common problem. Also unfortunately, it is a relatively serious problem that require attention. I would recommend that you discuss this with your primary care doctor
. If required, he or she may refer you to a psychiatrist
-- a mental health specialist.
Firstly, there are some serious forms of depression that require urgent treatment. If you ever feel the desire or urge to hurt yourself, hurt someone else, commit suicide or kill someone else you must IMMEDIATELY go to the nearest emergency room.
To answer your question -- YES -- changes in weather can affect mood. The most common form is when people are more sad in the winter. This is known as seasonal affective disorder or SAD. This is thought to be related to the decrease in sunlight during the winter (and not really the cold). As such, it is very possible the dark overcast skies are causing you to feel more depressed.
Talk to your doctor. There are many treatments for depression in general, as well as seasonal affective disorder. Light treatment can often be helpful. Other medicines can also be important as can talking with a trained psychiatrist. First talk to your doctor to see how he or she can help. Good luck!