Covid-19 and the resulting lockdowns affected various aspects of people’s lives, including their mental health. Using data from an online survey, we investigate the role of religiosity in mediating the effect of Covid-19 on mental health. From February-March 2021, we conducted online surveys in the USA among 5178 individuals. These surveys elicited responses on (i) the incidence of Covid-19 infections among the respondents or their immediate social networks, (ii) religious beliefs and practices, and (iii) mental health. Employing the CES-D scale, which tests for depression in clinical settings, we find that while the incidence of a Covid-19 infection is associated with significantly worse mental health, this negative association is significantly smaller for religious people. We show that the mental health benefits of being religious emanate from the ability to participate in religious activities.