The Christian faith begins and ends with a knowledge of the Lord. It begins with a knowledge of the Lord—not a feeling, not an act of will, but a knowledge of this Blessed Person. There is no value in any feeling unless it is based upon this. Christianity is Christ, and Christian faith means believing  certain things about Him and knowing Him, Knowing that He is the Lord of Glory come down amongst us, knowing something about the Incarnation and the Virgin Birth, knowing why He came, knowing what He did when He came, knowing something about His atoning work, knowing that He came, as He said Himself, not to call the righteous, but sinners to repentance, knowing that He says: “They that are whole need not a physician but they that are sick’, knowing that ‘His own self bare our sins in His body on the tree, that we, being dead in sins, should live unto righteousness; by whose stripes ye were healed’.

I find almost invariably when people come to me in a state of spiritual depression, that they are depressed because they do not know these things as they should. 

D. Martyn Lloyd-Jones, Spiritual Depression: Its Causes and Cure, 155-156