Ah, religion. What a touchy subject in real life, and a difficult subject to tackle on the internet due to the abundance of trolls on both sides. I will try to approach this as objectively as possible, but be aware that my experiences with religion will be different than yours and will result in a different viewpoint.
I was born into a Catholic family in India. If you think that India is only home to Hindus and Muslims, think again. There are dozens of religions in India, and Christianity is starting to gain a foothold in certain areas such as the South. My parents were raised in a very strict environment which entailed 2 hours of prayer a night, weekly church attendance, and in general being good little Christians. They were not as strict with me or my brothers, probably because they felt a little encumbered by it when they were young and didn't want to force the same thing on us. This had the consequence of me being able to explore other faiths, with the eventual realization that I didn't really feel comfortable believing in any of them. I became an atheist.
So what does this have to do with depression? I believe that religion, and more specifically believing in a higher power, has a negative effect on treating depression. When you believe in a god that affects your life, it's more difficult to believe that you have control over your depression. Like they supposedly say in Alcoholics Anonymous, the first step is admitting you have a problem, and that you need to fix that problem yourself. Praying might make you feel better in the short term, but it will ultimately have no effect on the core reason you are depressed. Depression has physical causes that need to be addressed in a physical standpoint from doctors/psychiatrists. And what happens if you pray and nothing happens? You may be led to the horribly wrong conclusion that you deserve to be depressed.
I am not saying that religion causes depression, or that leaving religion will cure it. I was depressed when I was religious, and I was depressed for years after I became atheist. I am saying that not being religious forced me to take account for my own illness and eventually seek help on my own. That is something prayer never accomplished for me.
Is there anything good that religion can do? Yes. If religion motivates you to get out of bed; if religion motivates you to help others; if you are able to find friends and supporters through religion, then that's great. I won't deny that those will all help you handle depression. I will maintain that depression is caused by natural sources and does not need a supernatural solution.