When I think of Consolation I think of the Stoics, in particular Epictetus and Marcus Aurelius. Stoicism has a very consolatory side. Tom Wolfe, of 'The Right Stuff' fame, wrote 'A Man in Full', a novel in which the main character's life is changed by reading the works of Epictetus. But the consolation of Stoicism does not seem the same as that of Christianity, which has an afterlife. Stoicism is not really like that. For stoicism, one puts things in perspective, stops the mind from catastrophizing when things don't go our way, asserts a kind of immanent God, and an ultimately rational universe.
There is a stoic tendency in modern therapy, particularly starting in the work of Albert Ellis:
To me there are also similar threads in the Tao Te Ching, though without stoicism's heavy emphasis on rationality or a god of some kind(for the stoics it was Zeus).
These thinkers can all be very relaxing; I recommend them if you are stressed out or disappointed with your lot in life.