Being a philosophy minor, and having spent hours on meditation and reflection, I can tell you that having the time to reflect on the frailty of life and how short our lives are is definitely a reason why Caucasians have the highest suicide rate. And having one of the lower religious rates, you realize that the only reason most people get in to religion is to help them not think about death, because they assume that suddenly there is something eternal, without death, and then they try to be a part of that, thinking that maybe they'll get to be eternal as well, and avoid death.
What religion also offers is a sense of community and something more powerful than yourself being on your side. I felt both of those things when I was a little Christian and I felt the first one when I was a Buddhist 7 years later. It gives you a uniform, a social group and makes you feel like you have a community even when you are alone. I sometimes envy people who are convinced of a religion.
Although, you could take the thinking path of Carl Sagan and allow the complexity and vastness of the universe become something to inspire your curiosity and awe, rather than making you feel depressed about how small we are.