Existential angst, even reaching to the level of depression, is common among deep thinkers. So, common, that there is even a great literary movement that goes by the name of existentialism with authors like Camus, and works like "Waiting for Godot" and "Rosencrats and Guildenstern are Dead". Perhaps it may give consolation to some that they are not alone in walking this path, for many have struggled with these same issues before them.
Sometimes it is useful to catergorize depression into two types: organic and situational. Organic depression would be caused by severe neuro-chemical implances and often result in psychomotor retardation, loss of energy nearly everyday for an extended period of time, and multiple depressive episodes throughout one's life. Situational depression, on the other hand, may only occur a few times within a person's lifetime, and usually accompany a series of life events (e.g., failures in an important life domain, repeated rejection and loneliness, a seemingly insurmountable problem, etc). Situational depression serves a purpose, it is to inform us that whatever we have been doing isn't working for us, and that we should slow down and re-prioritize our life and re-orient ourselves. Unlike frustration, which simply suggests that we should find another route to our goal; depression suggests that we perhaps give up on that goal and find another way to meet the underlying need our old goal was supposed to meet.
For example, I once knew a man who believed the only way he could feel successful and competent was to be a great salesman. The only problem was, he sucked at being a salesman. His failures led to frustruation and discouragement, but he was able to avoid depression as long as he could come up with a new pathway to use to approach his goal of being a great salesman. New pathways included: reading self-help books, attending seminars, talking to successful salesmen for advice, selling different products, trying new ways to attract customers, etc. But, when he had finally exhausted all the pathways he could think of and still experienced failure, he fell into a deep depression. The thing that finally freed him of his depression was realizing that he did not have to be a great salesman (goal) to feel successful and competent (underlying need). He could feel successful and competent by being a great employee and providing for his family with a steady paycheck. So, he re-goaled and found a new way to meet his underlying needs.
Philsopher King: Your brother had the goal to one day have an eternal family and become a god, etc. His principle pathway to that goal was to be a good Mormon and do all the things good Mormons do. That goal is no longer attainable now that he knows it doesn't exist. There are no more pathways to that goal, so he naturally has become depressed. If he were my client, I'd have him first search for his underlying emotional needs. What does he most crave? To feel: wanted, appreciated, valued, understood, needed, cared for, cared about, important, competent, safe, prepared, worthy, etc? Once he has identified that, I'd help him brainstorm ways to get that need satisfied. All of our emotional needs can be satisfied by either ourselves or by other people. And if it is by other people, there are things we can do to elicit the responses we need from other people.
I'll end by sharing how I found my way out of existential angst. I realized that although my existence has no eternal or cosmic meaning or significance, my existence could have meaning and significance locally, in space and time to the people around me whose lives I touch and influence. My life matters to my wife and kids. If I committed suicide, it would deeply sadden them and disadvantage them in their lives. And I choose to care about their feelings. And although, they, like me, are nothing more than a contained chemical reaction and all the feelings they have are nothing more than a chemical reaction playing itself out, I am a homo sapien and I am content to do what homo sapiens do, care about the feelings of other homo sapiens, even while knowing my "caring" is just a chemical reaction itself. My wife and kids give my life meaning, locally in space and time, no matter how ephemeral. The human mind is the only thing capable of giving meaning and it is also the only thing that craves it. So, I get my need for meaning fulfilled bythe only humans I'll ever know (my contemporaries). It would be convienient to be like the deer who have no need for meaning and blissfully live their lives without it. But, I am a human, so I will do what humans do: live my life, satisfy my needs, experience my emotions, and enjoy my fellow humans.