I think atheism leads to depression and then even to a possible suicide. At least for people who think, who are honest to themselves and who perceive the world in therms of good and evil. But in atheism there is no good neither evil... One can flex his understanding of what's right and what's wrong depending on who's benefit he is acting: an individual, a race, species, whole life on Earth, etc. It also doesn't help that our honest atheist knows that his experience - hard learned during lifetime - and all the fruits of his labour eventually will disappear. There is no anchor in space or time.
I can feel this gloom in many ethical-oriented yet atheistic or agnostic sci-fi stories. All these horrible Prime Directives, "I can't help because it affect the future"and so on. It almost makes me scream: "do what you heart tells you, only God really knows the future!"
I won't say that religion can't make one depressed. For example if one comes to be religious because of strong feeling of good and evil but latterly may reach a point when he is not sure if God shares his ethics, if God is really good on his terms (I'm thinking about people suffering on Earth or eternal suffering in hell in which many believe). But at least there is some hope.