The real issue is that those who believe in a God that watches over them also tend to feel that their lives are being guided, and they PREFER to feel that someone is guiding/controlling/watching over them. Now, a big part of depression comes from feeling powerless about your situation in life, so from that point of view, feeling like SOMETHING is looking out for you is a positive thing, no matter what or who it may be. The solution to treating depression then, is to provide a system(can be peer based, not government) where people who are depressed have others who may be able to help them, or watch out for them to give support. What has happened with modern society is that there is a notable lack of community in most places, and that lack of community leads to depression, and a feeling of isolation. Picture if you had no friends living near you, and the only thing you do is go to a bar and drink by yourself, where you see others who have connections or are making connections. Do that for years, and depression is sure to set in. Neighbors would help, but if society makes it so people are not interested in being connected to your neighbors, that leads to depression.