If a person believes in a god, it is likely that the person believes that that god is benevolent. It is also likely that the person believes that that god is omnipotent. If something terrible then happens, like the Holocaust, it can be difficult to believe that the omnipotent, benevolent god exists.
When the event in question is as terrible as the Holocaust, that difficulty inevitably increases. One might question how an omnipotent and benevolent god could let something as terrible as the holocaust happen. If the god is omnipotent and benevolent, then logically, he, she, or it would have stopped the Holocaust from happening. If the god could not stop the Holocaust from happening, then it stands to reason that that god is not omnipotent. If that god could stop the holocaust from happening but didn't, then it stands to reason that that god cannot be benevolent.
Thus, it is difficult to believe in an omnipotent, benevolent god when something like the holocaust happens. And one might argue further that if a god does exist who is benevolent but not omnipotent, or omnipotent but not benevolent, then that god is simply not worth believing in or worshipping.
On the other hand, one might argue that terrible events like the Holocaust are precisely the reason why we should believe in god. One might argue that the only hope one can hold on to during or after an event like the Holocaust is the hope that there will be some kind of divine justice, for the victims and for the perpetrators, in the next life. If we don't believe in God, we must, it seems, resign ourselves to the fact that we live in a world in which the victims of such terrible crimes never achieve peace or salvation. It can be depressing and horrifying to think that there is no god who can, for example, welcome the victims into heaven or at least ameliorate the suffering of those victims on earth.