I think religion and faith can be a very beneficial tool when it comes to dealing with existential depression.
Unfortunately, some questions just don't have an answer and thinking about them constantly just makes things worse. That's what happened to me. The more I tried to figure out why I exist, the more depressed I became. I think existential depression is scary because there can be a very strong temptation to experience death. I think suicidal tendencies can be high with this type of depression.
I also had suicidal thoughts when I was depressed. The only thing that pulled me out of it was religion. I read a lot of religious books around this time. Religions preach that everything happens for a reason. Religion expects the believer to put faith in a supreme being and feel satisfied with destiny.
Religious belief is comforting. It helps us let go and just let things be and I think that this is the best treatment for existential depression.