Asthma is a chronic respiratory disease that can be controlled with appropriate medicinal treatment. Adherence to pharmacological treatment is therefore critical. Self-efficacy plays a key role in adherence to medicine in chronic diseases, including asthma. Additionally, ethnic minorities have poor adherence to medicines. However, the impact of religion on self-efficacy and adherence is understudied. Therefore, the aim of this study was to explore the role of self-efficacy in adherence to asthma medicine treatment and the influence of religion on self-efficacy among young, Muslim minority women. A focus group and individual interviews with 10 Muslim minority women (14–24 years of age) living in Denmark were conducted. Data analysis was deductive using Bandura’s theory of self-efficacy and modes of agency. Overall, religion was shown to affect self-efficacy. The women reported changes in self-perceived self-efficacy during the holy month of Ramadan. In addition, praying was used as an alternative to medicine for controlling asthma symptoms. However, the women did not perceive religion and treating asthma with medicine as mutually exclusive, but rather as coexisting for the shared goal of controlling asthma symptoms. It is important for healthcare professionals (HCPs) to be aware of the link between self-efficacy, religion and adherence to asthma medicine treatment. This awareness can aid HCPs in giving advice regarding adherence to asthma treatment, and when monitoring treatment to improve the quality of asthma care for young Muslim minority women.