Apparently this isn't new knowledge, a study from 2003. The study not only states that body temperature is higher, but also the mechanism by which this occurs which is related to 5-HTTLPR deletion. https://pubmed.ncbi.nlm.nih.gov/12759553/
Depression is considered an inflammation-associated disorder, and improper/constant activation of cross-reactive inflammation pathways eats into mitochondrial energy production (The Powerhouse Of the Cell(tm)), which means energy that would go keeping you warm isn't.
The body, for some adaptive reason (and presumably a good one), doesn't turn up energy production to compensate.