Religion is sometimes presented as an important means by which people can cope with the problems they face in life, but religion can also add or magnify problems. People aren't necessarily happier and better off with religion than they would be without and this may be especially true when it comes to fundamentalist Christianity, including Pentecostal forms. Research has revealed a strong correlation between Pentecostalism and higher rates of anxiety, depression, and mental health disorders.
James A. Thorson writes:
Koenig, George, Meador, Blazer, and Cyck (1994) examined religion and general anxiety, as well as depression and any DSM-III disorder, in groups of mainline and conservative Protestants as well as Pentecostals. The Pentecostals had significantly higher 6-month and lifetime rates of depression, anxiety, and any DSM-III disorder. Mainline Protestants had the lowest 6-month and lifetime rates of anxiety disorder and the lowest rates of any DSM-III disorder, and conservative Protestants had the lowest 6-month and lifetime rates of depressive disorder.
Koenig (1992), however, has pointed out that, "It is well known that depression and anxiety are more common among the lower classes, the poor, and the uneducated" (p. 183). One might speculate that these terms fairly describe many of the Pentecostals studied in the 1994 article, and perhaps their higher rates of anxiety and depression had socioeconomic, rather than religious, explanations. Also, it could be possible that individuals with higher levels of anxiety for some reason gravitate toward Pentecostal denominations. In terms of speculation, it is of course possible that Pentecostal affiliation in some way causes anxiety.
"Religion and Anxiety: Which Anxiety? Which Religion?" by James A. Thorson. Handbook of Religion and Mental Health, edited by Harold G. Koenig
The alternatives to "Pentecostalism causes anxiety, depression, and mental disorders" may be at least as plausible as that explanation is. Indeed, given the complexity of the issues and the numbers of people involved, it is implausible that the causal connection here is linear and simple; it's far more likely that there are multiple causal factors that have a complex relationship with mental health issues. It's also implausible, though, that Pentecostal beliefs aren't playing any sort of role.
Assuming for a moment that Pentecostalism is at least one of the causal factors, then, why might it be involved? It surely can't be due to basic Christian doctrines, given the differences described above between Pentecostal Christianity and other forms of Christianity. We're more likely to find something relevant by looking at the differences between Pentecostals and other Christians.
The first differences that comes to mind are speaking in tongues, faith healing, and related practices. It's not obvious why they would produce increased anxiety, but perhaps the expectations of being visited by the "Holy Spirit" cause anxiety with people who aren't feeling it when they think they should. The basis of such doctrines, which is the idea that God is communicating directly with the congregation is also relevant: given the fundamentalist, Pentecostal view of a wrathful god, the mere possibility of a direct encounter with such a being could easily create anxiety, not to mention depression at one's failures to live up to that god's demands.
Finally, there is the strong tendency towards fatalism in modern Pentecostalism. Both fundamentalists and Pentecostals share a dispensationalist theology which teaches that humanity is approaching an inevitable cataclysm which cannot be avoided. Wars, earthquakes, and other disasters are not warnings to humanity to get us to improve our behavior, but rather warnings to let us know that the end is fast approaching — an end where most of humanity will suffer terribly then be cast down to hell where they will suffer for all eternity. Only the truly faithful will be "raptured" up to heave prior to Armageddon, so only they will be assured of salvation and an eternity of peace.
Many Christians who have such a fatalist view of the future — and quite often it's believed to be the very near future — appear to take great joy in the anticipated destruction of human culture and civilization, not to mention the damnation of everyone who doesn't believe as they do. Because of the great demands placed on believers, though, it's plausible that there is more than a little anxiety and depression over the possibility that one will not be among those raptured and will at the very least have to endure Armageddon... if not worse. Some take comfort in a fatalistic view of life, imagining that everything is mapped out, while others experience anxiety over the idea because they worry about a fate they cannot escape.