There are two kinds of people in this world:
- seekers, and
- the complacent.
Jesus said those who seek shall find, but not those who sit on their hands. Jesus said in essence, that for some people, nothing God can do is good enough:
. . . we piped to you, and you did not dance, we wailed and you did not weep.
I think you are a seeker, but you are struggling to figure out how that can work in our current culture. It is a great challenge, but really a choice you have to make. (Agnosticism is simply an attempt to avoid the choice; however, it is more akin to a choice against, and certainly doesn't count as a choice for God.)
You should start with Jesus Christ and put aside all the trappings of religion until you have answered one question:
- Is Jesus' claim to be the Son of God, equal to God, credible? or
- Is He simply deluded
or a liar?
You can't come up with some other choice like he was misunderstood, or Christians twisted what he really said.
- Either He is the Real Deal, or not.
- He either died for you and me, or not.
- He either rose from the dead, or not.
These are choices for you to make, either accepting them as true or not. There is no maybe. God does not maybe exist anymore than you or I maybe exist. Your decision does not change whether it is true, but it changes your response and your entire life. That is the fundamental message of Christ. He alone, in all of history came to bring a choice, with a credibility like no other.
He calls us to faith. Why faith? I think when you look at it, God is ultimately looking for those who share the same heart as Himself, fertile ground to share a real relationship and a true family. Love is born of freedom, not coercion. God certainly could manifest himself in a way that is so obvious that there would be no question as to His status as the Maker and Ruler of the universe, but then people would simply respect Him or oblige to Him out of fear, coercion, or other reasons. His humility, by being born as a poor refugee, and then living a life truly worth emulating, show us the true nature of God.
Go back and read about Jesus in the New Testament, all of it. Read His Words, hear the stories of His contemporaries. If something stirs in your heart, that is God showing you the truth. God is something too abstract for us to conceptualize, but the Person of Jesus captures our imagination in a way that we can understand. That is why He came. He is the Way, the Truth, and the Life. Find him. Be a seeker, and don't sit on your hands. All the other questions about morality and other issues can be sorted out in time for you if you go to The Source of all truth. He is love, and there never will be an answer for you that is not rooted in love. You need only to keep your heart and mind open.
You said that knowledge brings with it depression, and this troubles you.
25 I thank you Father for hiding this from the wise and understanding and revealed it to babes. (Matthew 11:25)
Intelligence or knowledge is not a pre-requisite for the knowledge of God. In fact it can get in your way, not because you have to be stupid to believe in God, but because you have to have the humility of a child, a willingness and openness to the transcendent. Children do this naturally, but for adults it is difficult, though surrender brings a paradoxical benefit:
12 whoever exalts himself will be humbled, and whoever humbles himself will be exalted. (Matthew 23:12)
You said that many have told you to pray, and that has not helped. Try praying the Rosary.
- You want to see something happen?
Pray with Mary. It is not up to you to figure this all out, let her show you, like a good Mother. My life changed because of the Rosary. A girlfriend of mine (along with her twin) prayed their alcoholic father into sobriety with the Rosary. It is the best Catholic thing you have, an untapped powerhouse of mystery. Done well, this prayer can change everything.
So in Summary: