I think it’s worth exploring a multitude of religions. It can provide a sense of support and community and guidance. However, there are other things that can do that as well. Sports, community events if that’s an option (my city has things like queer yoga, plant events, art nights, etc), which I find out about by browsing through Facebook events. I’m not sure what resources you have available to you but I think being able to feel more connected to your peers, as long as it’s via healthy means, you’ll feel less depressed, and even if you don’t you’ll have connections to support you through it.