Depression is probably caused by the anxiety we have of not being worthy of the things we wished for as children and feel unequal to obtaining as young adults. This is caused by having high expectations and even being thought by others to have talent of some sort that we feel we cannot ever realise. The best analogy I can think of is your mind mentally beating up yourself in the most violent way possible. http://medical-dictionary.thefreedictionary.com/free-floating+anxiety
Faith is a choice. A literal belief in God is not required because all that is necessary for faith is the belief that if the Abrahamic God exists - and the likelihood of this is 50/50 - He might be disposed to help you if you have been good. Faith at its most basic means the belief that things will turn out for the best in the end if we follow the stated rules of morality. Since the existence of God can neither be conclusively proven nor denied to those who hold the opposite view, the probability of His existence must necessarily and logically be viewed as 50/50. This being the case, belief in God is not intellectually dubious and does not therefore make you a minority in absolute and rational terms, even if most of the idiots and ignoramuses around you are arrogant atheists. Once you are prepared to entertain the possibility of His existence, you would naturally wish to understand the Nature and Purpose of God, and this can be best understood through knowing and understanding the Nature and Purpose of His laws and the evils they were created to discourage. Once this is done, you will never suffer depression again.
I am not saying you will never feel sad, bad and mad again if bad stuff happens to you, but you are unlikely to suffer the kind of free-floating anxiety you felt in your youth of being unanchored and untethered to anything at all, as if one were the flotsam and jetsam in the detritus of life. Even the apparent certainty of dying and going to hell will seem less frightening once you are clear in your own mind that you understand the rules and are doing your very best to follow them, albeit with the occasional lapse.
At your strongest once you have absorbed this idea, you might consider bungee-jumping into the abyss and living in it for a while just to see what happens.
During his TV duel with assorted sceptics Sacks was asked (by novelist Howard Jacobson) whether he – Sacks – could be certain of God's existence. Sacks replied: "I believe faith is not certainty but the courage to live with uncertainty".