Depressed and seeking religion?

I've been depressed for nearly 3 years and I've never been religious, when prompted I identify myself as an atheist or agnostic. Recently I've been drawn to religion, Catholic is my family so I've been thinking about that most, but I'm not sure. I want to try religion out but I'm not sure which one. I'm afraid to buy a Qu'ran or anything because Idk how my family would react to that. Help...?