I've struggled with depression all my life. When I became a Christian in the early '90s, the initial exhilaration did help, for a time. After the initial rush of novelty faded though, my depression returned and I simply rationalized coping with it in terms of my new belief: praying, having others pray for me, thanking god when my mood / circumstances improved, etc.
Since becoming an atheist again eight years ago, I've worked out a more rational method of dealing with depression. I can't make it go away, but I can greatly reduce it with regular exercise, socializing and just being more aware of my mood. I find happiness at often unexpected moments in my life, that occur whether or not I'm depressed at the time.