Prior research has shown that changes in seasons and weather can have a significant impact on depression severity. However, findings are inconsistent across populations, and the interplay between weather, behavior, and depression has not been fully quantified. This study analyzed real-world data from 428 participants (a subset; 68.7% of the cohort) in the RADAR-MDD longitudinal mobile health study to investigate seasonal variations in depression (measured through a remote validated assessment - PHQ-8) and examine the potential interplay between dynamic weather changes, physical activity (monitored via wearables), and depression severity. The clustering of PHQ-8 scores identified four distinct seasonal variations in depression severity: one stable trend and three varying patterns where depression peaks in different seasons. Among these patterns, participants within the stable trend had the oldest average age (p = 0.002) and the lowest baseline PHQ-8 score (p = 0.003). Mediation analysis assessing the indirect effect of weather on physical activity and depression showed significant differences among participants with different affective responses to weather. Specifically, the temperature and day length significantly influenced depression severity, which in turn impacted physical activity levels (p < 0.001). For instance, among participants with a negative correlation between depression severity and temperature, a 10°C increase led to a total daily step count rise of 655.4, comprised of 461.7 steps directly due to the temperature itself and 193.7 steps because of decreased depressive severity (1.9 decrease in PHQ-8). In contrast, for those with a positive correlation, a 10°C rise directly led to a 262.3-step rise; however, it was offset by a 141.3-step decrease due to increased depression severity (2.1 increase in PHQ-8) from higher temperatures, culminating in an insignificant overall increase of 121 steps. These findings illustrate the heterogeneity in individuals' seasonal depression variations and responses to weather, underscoring the necessity for personalized approaches to help understand the impact of environmental factors on the real-world effectiveness of behavioral treatments.