At best you can only prove with anecdotal evidence that the religion causes depression and even suicidal tendencies.
Actually, the research that has been done into the negative emotional effects of cult-like and high-control groups has been overwhelming.
While an individual may resort to anecdotal evidence to promote their own individual claims, the evidence that has been established regarding JWs and other cult-like groups is hardly anecdotal. True, nobody has statistical data to show how many JWs are on Prozac, or how many have had nervous breakdowns; it does not take a rocket-scientist to figure out that the enormous pressure, emotional manipulation, and mind-control tactics used by the WTS contribute enormously to emotional problems.
But don't take my word for it. Why not look into the research of organizations and researchers who have presented all of the relevant information themselves. I urge you to look into the research done by individuals such as Margaret Singer, Robert J. Lifton, and Steven Hassan.
Here are some links for your convenience:
http://factnet.org
http://freedomofmind.com
I suppose that some could claim that the research done into mind-control is based merely on "anecdotal" evidence. Well, in that case, perhaps all of the evidence that smoking causes lung cancer is "anecdotal" as well.