Depression is a prevalent and burdening disease that brings serious challenges to individuals who suffer from it. Religion is a unified system of belief, practices, and the community which surrounds the belief. The neuroscience of depression has received more attention in recent years, yet how a belief system influences depression is poorly studied. To examine whether religion is neuroprotective against depression, this paper investigates the neurophysiology, neuroanatomy, and neuroendocrinology associated with religiosity, and their impact the neuropathology of depression. After analyzing studies conducted by other researchers, the main results are as follows: High personal importance of religion correlates with prominent posterior EEG alpha, which counters a genetic predisposition to depression and predicts a better prognosis. High personal importance of religion increases cortical thickness where thinner cortices predict a high risk of developing depression.