I’m quite religious but few months ago I read a book about the subconscious mind and one thing in it struck me that anything can be achieved and is possible if we tell ourselves that we can get it, same as the law of attraction I guess. Then why do we pray to God? I know this is a very pathetic question but I cant seem to solve it, I feel embarrassed to be thinking this way

Secondly, How can we be sure that we are on the right path? Because in other religions, some people are extremely spiritual and they have many capabilities beyond the average human’s capacity

Thirdly, Can one experience spiritual depression? Like if one feels like their connection with Allah and Imam Mehdi a.s has hit rock bottom and because of that the contentment has been lost? And please recommend books on Allah and how to get closer to him

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I recommend you see this discussion on manifestation:

https://youtu.be/BInkFc1i1xc

In short, simply by telling ourselves we can achieve something doesn’t mean we will get it. We still have to work for it. Secondly, there are some people who work hard for it but they still don’t get it, so we still need Allah’s blessings. Third, we want Allah to bless what we do. If He doesn’t, we may get what we desire but we may end up serving Iblis instead of Allah.

To know that we are on the right path, you may see this video:

https://youtu.be/rSwNbQFQ_fI

Others might do some unusual spiritual acts, but it doesn’t mean they’re on the right. The world of souls has certain laws and ways of working and to an extent even non-believers can access some of it. Yes it’s possible for one to feel spiritually low.