Thanks for your thoughtful question and I don’t see it as coming from “the Devil’s Advocate” at all. Psychologists study the impact of faith, religious practices, will power, and even the degree to which gratitude toward God impacts upon well-being. A few of the references that discuss these elements are located below. I believe the same assertion could be posed for Buddhism, and most other religions, or belief system where there is strong purpose and meaning in life, and a belief that there is something greater than you. Accepting suffering, struggle, and purpose doesn’t inoculate you from depression any more than understanding germs inoculates you from getting a cold. While I agree there is no single cause for depression there is strong evidence for much of it stemming from loss and lack of connections. Most religions can help people cope with the clinical depression that can follows loss, but not prevent it.
In general, people are more likely to have greater well-being and suffer less depression who have more calibrated expectations — particularly if they have a sense of purpose, good relationships, the capacity to engage in the activities of their life, and the ability to experience joy, love, hope and the other positive emotions. This includes those with — or without — a specific religious belief.
Baumeister, R. F., & Tierney, J. (2012). Willpower: Rediscovering the greatest human strength. Penguin.
Haidt, J. (2012). The righteous mind: Why good people are divided by politics and religion. Vintage.
Hari, J. (2018). Lost Connections: Uncovering the Real Causes of Depression–and the Unexpected Solutions. Bloomsbury Publishing.
Rosmarin, D. H., Pirutinsky, S., Cohen, A. B., Galler, Y., & Krumrei, E. J. (2011). Grateful to God or just plain grateful? A comparison of religious and general gratitude. The Journal of Positive Psychology, 6(5), 389-396.
Seligman, M. E. (2012). Flourish: A visionary new understanding of happiness and well-being. Simon and Schuster.
Wishing you patience and peace,
Proof Positive Blog @ PsychCentral