By reporting findings from Wave 6 of the World Values Survey, this paper presents a renewed understanding of the relationship between religiosity and individual agency that is defined as sense of control (SOC) in life. In doing so, it proposes two conceptual articulations of religiosity. First, it articulates religiosity to be composed of categorical (i.e., denominational affiliation) and substantive (i.e., religious action) aspects. Second, it articulates substantive religious action to be multivocal, involving individual–affective, individual–practical, and collective–practical action. The paper finds that categorical denominational affiliation has varying effects on SOC, whereas substantive religious action mediates these effects in such a way that it consistently boosts SOC. A positive association between denominational affiliation (vs. non-affiliation) and SOC becomes smaller when religious action is accounted for. A negative association becomes greater when religious action is accounted for. In sum, the paper argues for the positive mediating effect of religious action on the varying relationship between denominational affiliation and SOC.