Based on extensive ethnographic fieldwork, this article focuses on the present-day belonging of Finnish Roma to Pentecostalism. On the one hand, in what appears to be a ladder of social mobility, Pentecostalism provides Roma with the opportunity for enhanced participation in the nation-state, thus enhancing their relationship with the majority Finns. On the other hand, Lutheranism continues to be a symbol of Finnish belonging and a symbol of unity across the Nordic countries. Therefore, in the case of a historically marginalized group adopting a minority religious denomination, this article explores the complex relationship between community belonging, religious identity, and national engagement, and the ways in which these become entangled with one another. The aim is thus to introduce a contemporary perspective on how minorities themselves are actively engaged and reflect upon their role within their society, while also developing grassroots “strategies” of connecting with others (majority “Finns”), and with one another.