Guided by social identity theory, this study investigated having a closer identification as a member of one's religious group as an explanatory mechanism for linkages between more frequent formal religious participation and better subjective psychological well-being (more positive affect, less negative affect, and more life satisfaction). Multivariate regression models were estimated based on data from 3,032 participants, ages 25 to 74, in the 1995 National Survey of Midlife in the U.S. (MIDUS). Results provided support for the mediating effect of religious social identity on the associations between more frequent religious service attendance and all three dimensions of psychological well-being examined. Given the lack of previous empirical attention to social identity within the literature on religiosity and mental health, these findings contribute to our understanding of self, religion, and health, while also pointing to the importance of continuing to draw on well developed social psychological theory in investigations of linkages between religion and health.