Well, define atheism. Do I believe in a God? No. Do I believe in Jesus? Sure, he existed. So I believe in Heaven or Hell? Nope. Do I believe in the Earth and present? Yes.
I fall under the atheist label since I don't believe in any specific God or heaven type of story. I don't ft under it perfectly though since I do believe in humans, animals, the planet and universe - IE Buddhism.
Do I get depressed? No more than anyone I suppose. So I meditate, clear my mind and start fresh again. When you believe that nothing lasts forever and everything's always going to be changing, it's easier to not get easily depressed over every little thing. I also don't get upset over atheist debates because whether or not God exists to me is irrelevant, so I don't lose any sleep or get depressed over someone "challenging" my beliefs as easily as theists do.