Can stronger religious beliefs lead to more economic risk-taking? Beliefs shape how individuals perceive their environment and form preferences and expectations. Belief in a benevolent God may provide a sense of security, reducing individuals' perceived background risk. Conversely, certain religious doctrines may caution against risk-taking. With register data for 7.1 million individuals followed for up to 40 years, we document that more religious individuals are more likely to become self-employed and invest in stocks. We measure religiosity using first names and religious responses in surveys for a subset. In support of causal interpretations, we exploit sibling comparisons and intergenerational transmission of religiosity. To shed light on mechanisms, we document that crime rates are lower among the religious, consistent with psychological literature emphasizing different predictions for moral vs non-moral risk-taking. Our results inform the puzzle of high idiosyncratic heterogeneity in risk-taking, which cannot be explained by standard economic factors.