This study assesses religious coping and church-based social support as mechanisms explaining religious benefits to mental health. We build on recent research and test an explanatory model using the 1998 General Social Survey. The model considers both institutional and individual aspects of religiousness, and their interrelations, as predictors of mental health outcomes. It considers negative effects of religion along with the well-known positive effects. We found that benefits of attendance, a measure of institutional participation, are mediated by church-based social support. Benefits of prayer, an individual form of religiousness, are mediated by the similarly privatized religious coping. Institutional measures of religion were found to impact individuals’ religious coping styles. Implications are suggested for the scientific study of religion as well as for the applied efforts of clergy, pastoral counselors, and lay church members concerned with improving religious benefits.