I don't know if you'd technically call any of this depressive, but I find some of these albums to be pretty emotionally despairing - though not quite as much as the very best depressive metal (to me, Stormcrowfleet, Watching From a Distance, Melancholie^2and Dance of December Souls). I've definitely shed tears a few different times to some of these songs though.
Vali - "Doedens Evige Kall"
Alcest - "Sur L'Ocean Couleur De Fer"
Agalloch - "A Desolation Song"
The Cure - "The Same Deep Water As You"
Tenhi - "Nakin Laulu"
Sigur Ros - "Untitled 3"
Townes Van Zandt - "Black Crow Blues"
Also, listen to Jaaportit, a dark ambient group that captures the whole wintry atmosphere thing better than anyone bar ColdWorld.