‘Where has God gone to?’ It’s a common worry for newish Christians, and one which is explored in Psalm 42.
Teach the Psalm by showing UCCF’s rap-style poem based on it, with (student worker and drama graduate) Millie Styles walking through London delivering the message. (Helpfully, they let you print out copies of the words for everyone too.) Prepare your own thoughts about it by watching John Piper's or Gary DeLashutt’s teaching video on the subject; both contain insightful stuff about responding to spiritual depression in a healthy way.
Clovis Chappell wrote on the Psalm in the 1930s, but some of his illustrations could still be used with teenagers. For illustration, there’s an interesting 1999 Newsweek article about European culture, asking ‘Where has God gone?’ and emphasising that Europeans are still thirsting for him despite themselves.
And if your group are a thoughtful, meditative bunch, you could end the session with a contemplative video from xianz, based on John
Michael Talbot’s folky rendition of the Psalm.