As a therapist, I’m often asked to explain why depression and anxiety are so common among children and adolescents. One of the most important explanations—and perhaps the most neglected—is declining interest in religion. This cultural shift already has proved disastrous for millions of vulnerable young people.

A 2018 study in the American Journal of Epidemiology examined how being raised in a family with religious or spiritual beliefs affects mental health. Harvard researchers had examined religious involvement within a longitudinal...