Annecdotal: I live in a fairly northern country, and I've heard quite a lot of people say their mood is more normal over winter if they supplement with Vitamin D.
I don't have any strong opinion one way or another on the efficacy of vitamin D. But people who say they feel better after taking it may themselves be experiencing a placebo effect. Placebo effects are real, and they can improve both mood and health. The mind is an amazing thing.