BACKGROUND: Several studies have reported weak associations between religious or spiritual belief and psychological health. However, most have been cross-sectional surveys in the U.S.A., limiting inference about generalizability. An international longitudinal study of incidence of major depression gave us the opportunity to investigate this relationship further. METHOD: Data were collected in a prospective cohort study of adult general practice attendees across seven countries. Participants were followed at 6 and 12 months. Spiritual and religious beliefs were assessed using a standardized questionnaire, and DSM-IV diagnosis of major depression was made using the Composite International Diagnostic Interview (CIDI). Logistic regression was used to estimate incidence rates and odds ratios (ORs), after multiple imputation of missing data. RESULTS: The analyses included 8318 attendees. Of participants reporting a spiritual understanding of life at baseline, 10.5% had an episode of depression in the following year compared to 10.3% of religious participants and 7.0% of the secular group (p<0.001). However, the findings varied significantly across countries, with the difference being significant only in the U.K., where spiritual participants were nearly three times more likely to experience an episode of depression than the secular group [OR 2.73, 95% confidence interval (CI) 1.59–4.68]. The strength of belief also had an effect, with participants with strong belief having twice the risk of participants with weak belief. There was no evidence of religion acting as a buffer to prevent depression after a serious life event. CONCLUSIONS: These results do not support the notion that religious and spiritual life views enhance psychological well-being.