I know you are seeking a reason behind what he said -- wondering if it is about school, or being the only boy with sisters around, or lacking sunshine, or reacting to some event. And yes, he could just be having the blues. But the fact he came to you and discussed it tells you, first, that he is smart enough to be aware of and not afraid to talk about his emotions; second, that HE knows something is wrong beyond just being down; and third, that it's time to go beyond ideas like more sunshine or more playdates with boys his age. Depression is about brain chemistry, and if it turns out he is clinically depressed, you can't depend on the home cures of more sleep and more sun to help him more than temporarily.
Please get him evaluated for childhood depression. Get a referral to a pediatric psychiatrist -- this evaluation is not a job for his regular pediatrician to do, though his pediatrician might have to do an initial exam in order to refer him, but please also get him referred to someone who works with kids this age on psychiatric issues. Your son may not be diagnosed as depressed, but you need first to rule that in or out. Do not wait, or think this is "the Januaries" and dismiss it as winter blues. Even if it is -- you need to treat it seriously until you know differently.
Take care not to get him worried and worked up; approach it quietly as, "Hey, I really appreciate your coming and telling me that. I can't read minds, so it is a huge help to me when you tell me how you feel, and I don't want you to go on feeling that way. So let's work on this together." Then get him to a doctor for evaluation, and encourage him strongly to be open, and make clear that it's OK and safe to talk with this person.
I know that the idea of "now that Christmas is over there's nothing to look forward to" does seem to indicate mere blahs, but since he says that he's felt this way for months as you put it -- I would get him evaluated, but be sure he doesn't see this as, "Oh, no, I told mom I felt down and now she's overreacting and going nuts taking me to doctors and I hate that...."
You might need to go in and see someone like his school counselor (if your school has a good one) or his pediatrician, withoiut your son there, to go over what your son said and get their read on winter blahs versus any indication of depression.
Doctors have begun to realize in recent years that children can be clinically depressed -- for years, it just wasn't accepted that kids could suffer actual depression. But they can. If he isn't depressed, that's great, but I'd get it ruled in or out.
Meanwhile, it's great that he says he likes the new school. Be sure he gets to spend time outsides school with friends and find him an activity -- doesn't have to be a sport -- that he can do now, outside baseball season.
My friend's kid's life has basically been saved by the kid's being properly diagnosed with a mental illness at around age eight or nine, and by a lot of therapy and medication. This was not an issue of some negative event or trouble at school or anything else that anyone could control -- this was about brain chemistry. Kids can have mental illnesses that we would associate with adults, like depression, anxiety and anger issues. If this kid had been left undiagnosed I can't imagine what he'd be like now, or if he'd still even be around -- he is very hard on himself at the best of times. While your son may not have anything like those issues, I just offer that as an example that children can benefit from therapy and meds if it's called for. Right now you have no idea if it's called for or if this is just the time of year and hormones, and let's hope it's the latter things, but it's worth having your son talk to someone.