There is scientific evidence that suggests that atheism leads to depression and even suicide.
In an article also published in this issue of Mayo Clinic Proceedings, Mayo Clinic researchers reviewed published studies, meta-analyses, systematic reviews and subject reviews that examined the association between religious involvement and spirituality and physical health, mental health, health-related quality of life and other health outcomes. The authors report a majority of the nearly 350 studies of physical health and 850 studies of mental health that have used religious and spiritual variables have found that religious involvement and spirituality are associated with better health outcomes. http://www.mayoclinicproceedings.com/content/76/12/1225.full.pdf
In 2004, the American Journal of Psychiatry reportedthe following:
Religiously unaffiliated subjects had significantly more lifetime suicide attempts and more first-degree relatives who committed suicide than subjects who endorsed a religious affiliation. Unaffiliated subjects were younger, less often married, less often had children, and had less contact with family members. Furthermore, subjects with no religious affiliation perceived fewer reasons for living, particularly fewer moral objections to suicide. In terms of clinical characteristics, religiously unaffiliated subjects had more lifetime impulsivity, aggression, and past substance use disorder. No differences in the level of subjective and objective depression, hopelessness, or stressful lifeevents were found http://ajp.psychiatryonline.org/cgi/content/abstract/161/12/2303