It varies, for me.
I grew up Christian, but am open-minded and multi-denominational. I also believe that all other religions are valid and each religion has a semblance of 'truth'. So I'm not your typical religious person.
When I was at my worst a few months ago - having anxiety attacks, and in particular when my first medication gave me terrible side effects (I woke up one night at 2am, cold sweats, entire body achy and itchy, feeling like I was losing my mind in a spiral of blind panic and fear - can't describe how awful it was - hell on earth) - I got a lot of comfort from curling into a ball and praying, imagining myself being enveloped in God's love. It somehow gave me respite - in particular on that dark night, I managed to cower away from the pain and managed to nod off to sleep again, miraculously.
Also when at my worst, I used to listen to my old Rebecca St James CDs. The songs (lyrics? music? who knows) were comforting, and were like a mantra for me.
When I have felt low about life - what is the point, my life has no meaning, there is nothing I want in life - I struggle, because I imagine that my 'purpose' and 'meaning' in life should be intricately linked to faith. However I am more a spiritual person, than a person 'of faith'. Though am not quite sure what I mean by that, either!
So yes, maybe the depression does make my 'faith' more difficult to experience or believe in, because the nature of the beast is that it makes me feel like life is pointless.