In a study that examined 1,000 patients over a six-month period, Koenig found that religious depression patients recovered from the depression faster than those who were non-religious.
But researchers say that just being outwardly religious -- going to church, synagogue, or Sunday school -- doesn't help people battle depression. They also need an internal and personal connection to their faith.
Monika Ardelt, a sociology professor at the University of Florida, notes that with end-of-life patients, those who were just socially religious weren't better off -- in fact, "it's worse than if you never had any religion at all."
Ardelt said this might be due to haunting questions (Was I a good enough Catholic?"; "Do I really believe in heaven?"), that neither strong believers nor atheists worry about at the end of life.
In order to get the full benefits of faith, researchers note that one needs to adhere to a regimen of outward activity and inward connection.
"A person has to [also] be engaged in a religious community, attending religious services once a week or more, reading a scriptures at least three times a week and praying once a day," said Koenig. "If they are doing that, they have a greater than 50 percent increase in speed of depression recovery."
It may sound like a complicated prescription -- intense inner beliefs and constant outer activity, but the benefits seem to be real.
Non- religious folks may ask why faith works so well.
"Worship provides social support, and it does help," said Murphy. "[It also] provides individual role models; [people] turn to someone like Job, God loves Job and he got through it, Christians look at Jesus, see what Jesus went through, so there's a divine social support system."
Michael Willborn of Durham, N.C., fervently believes that his Christian faith got him through his depression. "If you don't have a relationship with Christ can you be depressed? Yes you can. Can you manage? I don't see how people do it without Christ," he said.
Williams agrees, saying religion was an invaluable resource during her depression.
"Hearing from God, in terms of Him saying 'you are somebody, I will not leave you alone' -- I really believed that." Williams said. "I wasn't saying, 'oh, my goodness … it will never pass.' You have a light at the end of the tunnel -- it may be far, and it may flicker, but it's there."
So, should the depressed run out and get some religion? Doctors and counselors say it's up to the patient.
"I really think it's a matching process," said Lechner. "For people who are religiously inclined to begin with, it can be clinically enormously helpful, I'm [not ] going to recommend necessarily to someone who's not that interested in talking about God or getting involved in organized religion. As a clinician, you want to give them as many techniques to cope as they can, and I consider religion in that bag."