This study aims to examine the relative contribution of religious identity, social support, social connectedness, and perceived discrimination on psychological well-being (PWB) among Middle Eastern (ME) migrants in Australia. This cross-sectional study was conducted within Queensland, Australia. A total of 382 first-generation young adult ME migrants, aged 20–39 years, filled out a self-administered questionnaire. The hypothesized model was tested using a 2-step process: measurement and structural model testing. First, confirmatory factor analysis was performed to test the fitness of the measurement model, and reliability and validity indices were calculated. Structural equations modeling was then applied to test the structural model. The mediation analyses were tested using a bootstrapping method. Social support had the largest total effect on PWB through both a direct and an indirect effect via perceived discrimination and social connectedness with ethnic community (SCETH). Religious identity demonstrated both a direct and an indirect effect on PWB through social support, perceived discrimination, SCETH, and social connectedness with mainstream community (SCMN). Perceived discrimination showed a direct and an indirect effect on PWB, mediated by SCMN. The SCETH and SCMN had only direct effects on PWB. Developing interventions that assist religious institutions/networks in offering support and/or strategies to provide support to ME migrants through religious organizations could be helpful in increasing their PWB. Protecting ME migrants against discrimination based on their religious affiliation is a main area of action. Interventions that promote ME migrants’ interaction with others could result in their better mental health outcomes.