Although controversial, it is often argued that religious belief is a cause of greater happiness. However, we have found in two separate studies that both theism and atheism are correlated with fewer reported depressive symptoms than the in-between state of ‘existential uncertainty’.In our first study, on the effect of religious conviction on the Beck Depression Inventory (BDI), there was an unanticipated ‘inverted-U’ relationship, where the most and least religious groups had fewest depressive symptoms. In the second, we devised an 11-item existential conviction scale (ECS) as a measure of the degree of certainty with which an individual feels they understand the basis of human life. Fifty-two subjects (24 male, 28 female; age 18–76 years) completed the ECS and BDI. All 10 of those who rated as depressed (‘mild’ depression, BDI score 10+) were roughly halfway between atheist and theist. There was a significant negative relationship between ECS and the BDI (Spearman rank correlation –0.44, p<0.2).