It is known that religiosity is a positive correlate of well-being among adolescents and emerging adults. The current study extends this focus by assessing the roles of self-efficacy and perceived social support, which are presumed to explain the association of religiosity with psychological well-being (PWB). Participants were 331 adolescents and emerging adults (mean age = 21.67 years, SD = 3.92, range = 19–24, 68% male). In addition to correlation analyses, multimediation regression models were analyzed using self-efficacy and perceived social support as two mediators to explain the relationships of religious coping and religious practices with six PWB outcomes. The results from correlation and regression analyses showed that religious coping and religious practices were significant predictors of all PWB outcomes. The findings from multimediation analyses showed that self-efficacy in the presence of perceived social support mediated the relations of both religiosity factors with six PWB outcomes. However, perceived social support in the presence of self-efficacy mediated these relations with only autonomy and self-acceptance. Furthermore, the findings revealed that religious coping compared to religious practices was a stronger predictor of all PWB outcomes, despite similar patterns of mediation effects explaining the independent effects of both.