The MIDUS Study asked participants if they agree that they have a sense of direction and purpose in life. Answers ranged from "strongly agree" (1) to "strongly disagree (7). Here are the means by religious preference (sample size = 3,978):
Mean nihilism score
No religious preference 2.54
Roman Catholic 2.20*
Born-again Christian 1.90*
Jehovah's Witness 1.71*
*significantly lower than those with no religious preference
Lower levels of nihilism are associated with having a religious affiliation and especially with belonging to a more conservative faith. For example, the gap between those with no religious preference and Jehovah's Witnesses is more than sixth-tenths of a standard deviation--a fairly large difference.