Aim <p>This study investigates the relationship between religiosity and self-rated health, examining the potential health benefits of religion/religious practices at both the individual and societal levels within a European context.</p> Subject and methods <p>Data from the European Social Survey (ESS) were analysed using a logistic multilevel model (<i>N</i> = 31,943). Religiosity (independent variable) was assessed with a set of indicators that incorporated the degree of religiosity, frequency of prayer, and religious affiliation. General health (dependent variable) was measured through self-rated health status. The model also included the cross-level variables Social Hostility Index (SHI) and the national denominational share (% of population reporting a denomination).</p> Results <p>Prayer was positively associated with higher odds of very good/good health (odds ratio [OR] = 1.185, 95% confidence interval [CI] 1.097–1.281, <i>p</i> &lt; 0.001), whereas the degree of religiosity showed no significant association (OR = 0.970, 95% CI [0.913–1.030], <i>p</i> = 0.325). Religious minorities had lower odds (OR = 0.719, 95% CI [0.581–0.889], <i>p</i> = 0.002) of very good/good health. Contextual variables (SHI and national denominational share) were not significant. The interaction between denomination and SHI was significant only for Protestants (OR = 1.098, 95% CI [1.019–1.184], <i>p</i> = 0.014). Estimates were controlled for education, sex, age, body mass index (BMI), smoking, alcohol use, fruit/vegetable consumption, and sport activity.</p> Conclusion <p>Prayer shows a positive association with health, but overall religiosity remains complex and inconclusive in this cross-sectional study. To clarify the religion–health relationship, studies across diverse contexts, both longitudinal and cross-sectional, are needed; these should focus on religious minorities and test additional mechanisms and moderators.</p>