A positive correlation between religious participation and subjective well-being has been demonstrated frequently in empirical research among Christian believers. In this article, we demonstrate that this relationship also exists in a Muslim religious context. Data are presented, collected from a sample of Muslim youngsters of Turkish and Moroccan origin, now living in The Netherlands. Analysis of variance showed that young Muslim migrants who carry out religious duties, have a better subjective well-being than those who are less religiously involved, although this is more the case with men than with women. A qualitative analysis of the interview protocols revealed that female migrants suffer more from the restrictions laid upon them by religious obligations. It revealed also that the underlying factor of the relationship between religion and subjective well-being is group cohesion. Religious observance strengthens a feeling of togetherness and collective identity.