David Chelsea, who drew The Dawn Patrol's wonderful signature caricature (at left) writes, "You say you know what you believe is true because it cured your depression. Would you still believe if you hadn't been cured?"
No. Next question.
Seriously, that's almost a chicken-and-egg situation. The nature of my depression, matched with the nature of my religious experience, was such that my religious experience had to cure me.
With the kind of depression I had—what my then-shrink liked to call "existential depression"—I was outwardly rational except that I hated myself and wanted to die. I couldn't see any purpose of living with pain. To that end, I tried very hard to convince myself that there was no afterlife, and therefore no hell, because I wanted to think that I could end my pain by killing myself.
The positive side of belief in an afterlife—that there might be a heaven—was irrelevant to me. Without having a real and imminent sense of God's hand working throughout the universe, I couldn't see the point of enduring real and intense suffering for some intangible, far-off prize of happiness.
Looking back, I think of C.S. Lewis's observation in The Great Divorce that souls who are in Hell believe that Hell began for them on the day they were born, while souls who are in Heaven believe that Heaven began for them on the day they were born.
Although I don't feel particularly heavenly right now—I'm going through a period of personal loss, and not appreciating my blessings as much as I'd like—I do believe that, in a sense that I don't quite understand, I am in Heaven. And I have absolutely no doubt that, during the time when I suffered from cyclical suicidal depression (from about age 17 to age 31)—despite having a loving family, friends, and an often-exciting life—I was in Hell.
So, to return to David Chelsea's question, when I had a faith experience in late 1999 that convinced me both of the existence of God, and that He cared about me, that very knowledge, and the faith it brought, healed me.
One question that David did not ask, but which I think is relevant, is that of whether I would continue to believe in God even if I became depressed again. I think about that sometimes, although it's very frightening and painful to even think of returning to that former darkness. I do believe that, if I were to become depressed again, the depression would not be like it was before, because I know too much. I know that God exists, and I know that, even if my outward circumstances change, there is a truth—God's truth—that transcends appearances.
"For God, who commanded the light to shine out of darkness, hath shined in our hearts, to give the light of the knowledge of the glory of God in the face of Jesus Christ . . . . [T]hough our outward man perish, yet the inward man is renewed day by day." 2 Corinthians 4:6, 16