The problem is that humans evolved to be religious, and you can't just ignore that and get rid of it in a generation or two. It is in our brains and we have to live with it somehow. So from that perspective ... maybe Jesus does cure depression.
Except some of us consider ourselves to be quite evolved, not religious, AND absent of depression. Maybe depression (or the lack thereof) has nothing to do with religion at all.
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Humans most certainly did not evolve to be religious. We evolved to look for and, if necessary (to our minds), invent meanings behind things which sometimes have truly no meaning at all, i.e. the existence of existence itself. We also evolved to be fearful of the unknown, e.g. the experience of death and afterward. It seems quite simple to see how those two things resulted in our eventual invention of religion, but we did not simply evolve to be religious per se.