There are at least two types of historical evidence that can at least strongly suggest to us that Christian slaves in the United States (or the colonies) found comfort in Christianity. One type of evidence comes from slave testimony, some examples of which can be found in the link below. Another type of evidence comes from the rich African American religious tradition that began in slave times.
While this may be waning to some degree today, the African American church has been a pillar of the black community ever since slave times. This shows that Christianity has been very important to much of the African American population. All Americans know about the “Negro spirituals” that were created by slaves. This is circumstantial evidence that strongly implies that African American slaves derived comfort from Christianity. If they had not derived such comfort, why would the church have been so important to them during slavery and in the years immediately following emancipation? If they had not derived comfort from Christianity, why would they have created so many moving songs based on Christian faith? This is not direct evidence, but it strongly implies that Christian faith was very valuable to the slaves.
A more direct type of evidence comes from the testimony of slaves themselves. Of course, we cannot have any actual data about how many slaves gained comfort from Christianity. However, we can see that there is testimony from slaves who clearly did. The article in the link below, for example, quotes Josiah Henson, a slave, as saying of his conversion, “O the blessedness and sweetness of feeling that I was loved!” It quotes another slave, John Jasper, as saying that
de light broke; I was light as a feather; my feet was on de mount'n; salvation rol'd like a flood thru my soul, an' I felt as if I could knock off de fact'ry roof wid my shouts.
This does not prove that all slaves felt this way, but it clearly shows that there were at least some slaves who did.
Thus, there is clearly evidence to suggest that slaves derived comfort from their religion. There is direct evidence in the form of testimony from slaves or former slaves and there is the circumstantial evidence of the size and importance of the black church in the United States.