In comforting or distressing circumstances, individuals tend to have various perceptions of themselves. It seems that religious comfort and religious distress correlate differently with people’s self-esteem. Since the relationship between religiosity and self-esteem is not only direct but can be mediated by other factors that are recognized as buffers against adverse situations, our main goal was to verify whether dispositional gratitude may have an indirect effect on the association between both variables. The research involved data from 254 participants aged 18 to 25 (M = 21.24; SD = 2.09) and included 192 women (76%) and 62 men (24%). To measure the title variables, we used: the Religious Comfort and Strain Scale (RCSS), the Rosenberg Self-Esteem Scale (RSES), and the Gratitude Questionnaire (GQ-6). The results showed that people who consider religion as a source of comfort express positive attitudes toward the self and recognize others’ kindness, as well. In contrast, people who consider religiosity as a cause of fear, stress, and internal strain tend to display a lower subjective sense of personal worth and lower appreciation of the positivity around them. Moreover, gratitude had a mediatory effect on the relationships between religious comfort/negative emotions toward God and self-esteem.