A large body of literature highlights the benefits of being religious in terms of subjective well-being. We examine changes to these so-called religious well-being benefits during the early stages of the COVID-19 pandemic in Germany and address the role of (formal and informal) social integration when explaining these changes. We empirically test two contrasting scenarios. The first scenario predicts a decrease in religious well-being benefits (convergence hypothesis), while the second scenario predicts an increase in religious well-being benefits (divergence hypothesis). We adopt a potential outcomes framework and apply marginal structural models and inverse probability of treatment weighting to nationally representative, longitudinal data including both pre- and during-pandemic periods. Thereby, we show that initial religious well-being benefits declined during the early stages of the COVID-19 pandemic in Germany. This decline was partly due to religious individuals’ perception of decreasing social integration. Our results challenge the widespread idea that religious individuals are better protected against crises.