I've listened to many sermons, from Jerry Falwell to Tim Keller to Tullian Tchividjian. One common theme is that bad theology, that misapplication of Scripture, can be the direct cause of temporal sadness, even clinical depression. It wouldn't be too hard to find citations from the above pastors' work, and I imagine that every pastor eventually makes the claim.
For example, I just heard a sermon from Tullian that said having a legalistic, reward/punishment view for improving the behavior of your wife only leads to conflict. Here's another similar quote: "Legalism breeds a sense of entitlement that turns us into complainers".
Yet "legalism" may be a fair description of many philosophies and non-Christian religions. And we don't necessarily see a 1:1 correlation between depression and having other religions. I've known nonbelievers, usually immigrants, who have a very cheerful disposition.
Q:What have prominent theologians said about happy nonbelievers? Are they said not to be really happy? Having a short, temporal happiness? Or have they been careful to point out that bad theology causing unhappiness isn't indication lack of good theology dooms one to general unhappiness?