If you've read much about depression, you should know depression is not merely "sadness". Medical professionals believe depression is the leading cause of suicide in America (world).
Are you saying statistically there's a correlation between atheists and depression?
Is the statistic higher or lower than theists? Curious.
Religion always had a negative impact on me, "faith" being forced (indoctrinated) on me as a child, punished for questioning the faith aspect, associating punishment with religion.
Afterlife... damn... set yourself free.

Although my early image of eternal bliss with loved ones was always attractive, it came with the warning that "strait is the gate and narrow the way...and few there be that find it." So my conclusion was that even if I did make it (by following the strait and narrow) most of my friends, and most of humanity would suffer eternal torment instead. This was horrible. So, for me, when I was able to abandon this world view, life here-and-now became so precious and exciting that I wanted to live it! Of course, I may suffer depression later or come to face unsufferable pain; but I can't beleive I'll ever be tempted toward suicide because I don't believe in the "Mansion Over the Hilltop."

I think this maybe more akin to a chicken/egg scenario. Does depression lead to atheism, or does atheism lead to depression?

The only thing that can be known for certain is that depression is an illness. I think it is far more likely depression does not get treated among those who are religiously bent than those who have no religion to begin with.

I think it’s that we ‘express depression,’ instead of hiding it. How’s it actually diagnosed? If an atheist admitted feeling depressed, whereas a religionist continued to pretend they were ‘passing their god’s test,’ might that skew the results?

Situational depression might be offset by focusing on ‘imaginary happiness,’ but clinical depression would be non denominational...

Observant people are more susceptible to depression, but I think that secularists can find ways to heal just like a religious person. Meditation, time in nature, practicing gratitude, eating better, and exercise are good things for anyone.

I think that question is a tricky one. All I can say is if one's happiness is based on denial or making up one's own reality, that happiness is fragile and may eventually come crashing down. Also, there is often a quiet voice of reason in the background of the mind, messing with this attempt to create an artificial happiness.

I don't see why they would be.

Have you made any comparisons with different religions? Are there studies done on depression and religion? Depression is widespread and has been in the media the last few years with a variety of causes. Is religion of the lack thereof a factor? Is there a focus on it? I think more studies are called for.

As for me like you, I'm not one to dwell on things I can't fix but I try to find solutions to the ones I can.