It's actually from an episode in Season four, "The Coolness Factor" in which an alien entity disrupts the ships environmental systems. Picard, with no hair, is the first to don a beanie. The reason why they are rainbow beanies is because Beverly had knitted a rainbow beanie for Wesley (who was at the academy), and she'd put it into the computer as a replicator pattern so she could send it to Wesley. The alien also disrupted the replicators and this was the only warm headware they could get.
j/k, it's shopped.
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