All Tube depots are outside, its lucky that Walthamstow wasn't covered in snow otherwise the Victoria line would be suspended too.
Just to be pedantic, the Waterloo & City
is entirely underground, including its depot. However, the depot has no direct rail connection and vehicles requiring heavy maintenance are lifted to the surface by a specially adapted road crane, via a purpose built shaft.
Though they didn't have to go through this cumbersome procedure until Waterloo International was built, as there was a coach lift down to the W&C but its site disappeared under the new station, hence the carry-on with cranes. There's a film clip here of them using it in 1940 to remove the original US-built trains and deliver the new Southern stock
http://www.youtube.com/watch?v=UhLPiFJROSg