The COVID-19 pandemic had a serious impact on developing various psychological stressors in society. Grounded in cognitive appraisal theory, the current study has been conducted to investigate the moderating role of Hindu religious coping in mitigating the impact of the perceived threat of COVID-19 in developing perceived stress, insomnia, anxiety, and depression among the Hindu residents in Bali, Indonesia. The current study contributed to the body of knowledge regarding religious practices acting as a coping mechanism to help the community cope with crises scenario such as COVID-19. Using a longitudinal field survey, data were collected at two different times from 423 Hinduism believers who actively practiced religion and lived in Bali, Indonesia. Data were analyzed using measurement and structural models in SmartPLS. Results revealed that the perceived threat of COVID-19 impacted a higher level of stress, insomnia, anxiety, and depression among the target sample. Results further depicted that the intensity of the perceived threat of COVID-19 to develop negative stressors among those individuals is low who believe in Hinduism and practice religious obligations on a regular basis. This reflects the moderating role of Hindu religious coping in decreasing stress, insomnia, anxiety, and depression among Hindu believers aimed at COVID-19.