3. I Am Sure That is an Artifact of Previous Studies
Anything as powerful as religious belief has got to have a major impact on depression, but it may be more complex than simply helping or hurting.
Sometimes feelings of inadequacy, shame, or guilt can be magnified by religion. Religious and cultural history is full of tortured souls. John Bunyan, Isaac Newton, Martin Luther, Meister Eckhart, Gerard Manley Hopkins, Soren Kierkegaard -- all had some symptoms of depression but framed those issues in religious ways, such as Eckhart's "dark night of the soul" and the type of despair described in Bunyan's "slough of despond." Kierkegaard was emphatic that despair is not a symptom of a disease but an existential condition that should be wrestled with rather than cured. I suspect that how depression is understood affects the sufferer's prospects a lot. Bunyan wrote "Grace Abounding to the Chief of Sinners" after going through a very severe time of despair.
On the hand, religion can be one of the most powerful antidotes to despair known to man. Conversions and religious experiences tend to be belittled nowadays, but they create a barrier against depression as effective as being in love. The fellowship of likeminded believers can be one of the purest experiences of acceptance, love, and hope.
The subject of the study is a good one, but the methodology is simpleminded compared to the richness and variety of the subject matter.