The aim of the present study was to investigate the relationship between religiosity and psychological well‐being in a sample of Greek Orthodox Christians. Previous research has documented that personal devotion, participation in religious activities, and religious salience are positively associated with different criteria of psychological well‐being. The sample (83 men and 280 women) with an age range from 18 to 48 years, was strongly skewed with respect to sex (77% female) and education level (95% were university students or university graduates). Religiosity was operationalized as church attendance, frequency of prayer and belief salience. In addition, a single item referring to beliefs about God was used. Depression, anxiety, loneliness, and general life satisfaction were selected as dependent variables because they reflect important dimensions of psychological well‐being. Preliminary analyses showed that sex was significantly related to the three religiosity variables (church attendance, frequency of prayer, belief salience), with women being more religious than men. Consistent with previous research, correlations suggested that church attendance and belief salience were associated with better life satisfaction. The results of hierarchical regression analysis showed a significant positive association between anxiety and frequency of personal prayer. Finally, personal beliefs about God did not seem to relate to any of the psychological well‐being measures. The results of the present study partially support the hypothesized association between religiosity and psychological well‐being.