May I just jump in to ask why thinking that this life is all you have is depressing?
Frankly, if I thought there was something else beyond my life, I would find that depressing. In the end, I'm going to end up in some other existential realm, so what's the point of sticking around if life is only a short prelude to something greater?
I like the idea that once I die, I die, get put in the ground and then I decompose. Knowing this life is all I have is motivation for me to actually do something with my life, because this is my only chance to make my life count. If there's so much more... well then, what does it matter, because in the end I'll be going to Heaven/Hell/whatever, and what I did while I was alive meant nothing anyway.
That's just my take on it, but that's a little off-topic.
On the subject of whether religion cause more problems than it solves, I'm atheist, but I believe that religion itself does not cause problems, but the interpretations people have of it have caused so much harm throughout the centuries that there simply isn't enough good to justify it.

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