I mean, sure, for a religious person touching base with God or exploring existential questions might be fruitful but for a non-believer, focusing on these large questions while being in a depression is not your way out of it, because those questions are too grand. A quite healthy person might end up in a depression dwelling on unsolvable mysteries for too long.

If you find yourself in a depression, your thoughts constantly searching for answers to questions about the universe and why we are here, try to do something more akin to what the person in TFA tell about: create. Your real problem is certainly not that you don't have those answers, it's something else.