Values are guiding constructs of social action that connote some actions as desirable, undesirable, acceptable, and unacceptable, containing a normative moral/ethical component, and constituting a guide for actions, attitudes, and objectives for which the human being strives. The role of religion in the development of moral and ideal behaviors is a subject of concern and object of theoretical and empirical debate in various sciences. Analyzing sociodemographic and religious variables, the present work aimed to understand the contribution of religious variables to the explanation of Schwartz’s human values and to identify an explanatory model of second-order values, i.e., self-transcendence, conservation, self-promotion, and openness to change. This study was carried out with a representative sample of the Portuguese population, consisting of 1270 participants from the European Social Survey (ESS), Round 8. Benevolence (as human motivational value) and self-transcendence (as a second-order value) were found to be the most prevalent human values among respondents, with the female gender being the one with the greatest religious identity, the highest frequency of religious practices, and valuing self-transcendence and conservation the most. Older participants had a more frequent practice and a higher religious identity than younger ones, with age negatively correlating with conservation and positively with openness to change. It was concluded that age, religious identity, and an item of religious practice contribute to explain 13.9% of the conservation variance. It was also found that age and religious practice are the variables that significantly contribute to explain 12.2% of the variance of openness to change. Despite the associations between psychological variables (values) and religious ones, it can be concluded that religious variables contribute very moderately to explain human values. The results obtained in this study raised some important issues, namely, if these weakly related themes, i.e., religiosity and human values, are the expression of people belief without belonging.