This paper studies the influence of religion on participation of women in the labor market, drawing a distinction between (a) migrant and native women and (b) practicing and non-practicing women. We use individual-level data from the European Values Study 2008, covering 35,000 immigrant and native women from 47 European countries. Supporting earlier studies we observe that women of the Muslim and Christian-Orthodox denominations have a lower likelihood of employment compared to the agnostics, while for Protestants we observe the opposite. Differentiating between religiously active and non-active women, we find that the degree of religious engagement impacts the differential behavior of Catholic and Protestant women only, but not that of Muslim and Orthodox women. We are the first to study immigrants’ behavior in a cross-country study; we find signs of assimilation also among Muslim women. When distinguishing first and second generation immigrants, we find that Christian immigrants assimilate immediately (1st gen.), while their children tend to return to their grandparents’ religious values (2nd gen.). Instead, Muslim women assimilate only at a later stage (2nd gen.). As robustness tests, we employ propensity score estimates that treat religion as individual’s choice, use different sets of controls for individual and household heterogeneity, and augment our baseline model with country and welfare state regimes. We also test the presence of unobservable country characteristics and institutional changes using data on 44’000 married women in 80 countries drawn from the World Values Survey.