Belief is a feature that humans have that can give you confidence both in proven outcomes and in the unknown. It stems from our prefrontal cortex survival capabilities to remember past experiences and simulate future experiences. Aka imagination. We can believe in anything we choose to.

Yes belief is psychologically comforting. Certainly a lot more than worrying about the unknown. It’s even more comforting if the belief is shared by a social group, reinforcing it to each other.

Other aspects of religion make life easier too. Rituals, traditions, stories and social ties.

Those things can help with depression, but depression is a cognitive-affective response to a body that isn’t living the way our bodies were evolved to live. Socializing, getting the right nutrients, sleeping well, getting enough exercise and sunlight.