In the present study, the authors examine the extent to which effects of individual religious involvement on self-assessed health are influenced by the religious context (i.e., religious involvement at the country level). The authors test their expectations using individual level data (N = 127,257) on 28 countries from the European Social Surveys (2002-2008). Results of multilevel analyses show that individual religious attendance is positively related to self-assessed health in Europe. Protestants appear to feel healthier than Catholics. Moreover, modeling cross-level interactions demonstrates that religious denominations at the national level are influential: The health advantage of Protestants as compared to Catholics is greater as the percentage of Protestants in a country is higher, yet smaller as countries have a higher percentage of Catholics. The association between religious attendance and self-assessed health does not depend on the national level of religious attendance.