Anxiety and depression have been prevalent among Healthcare Workers (HCWs) amidst the COVID-19 pandemic. This study aims to evaluate the prevalence of anxiety and depression among HCWs amid the pandemic and their association with religious coping. A cross-sectional study design was applied. The scales utilized were Malay versions of the Brief Religious Coping Scale (Brief RCOPE M) and Hospital Anxiety and Depression Scale (HADS M). In total, 200 HCWs were recruited. HCWs scored higher in positive religious coping (mean: 21.33) than negative religious coping (mean: 10.52). The prevalence of anxiety and depression was 36.5% and 29.5%. Both positive and negative religious coping were significantly associated with anxiety (p < 0.01) and depression (p < 0.05, p < 0.01). Positive coping predicted reduction in anxiety (adjusted b = −0.15, p = 0.001) and log-transformed depression score (adjusted b = −0.019, p = 0.025). Negative coping predicted increment of anxiety (adjusted b = 0.289, p < 0.001) and log-transformed depression score (adjusted b = 0.052, p < 0.001). Positive religious coping is vital in reducing anxiety and depression among HCWs amid the pandemic. Strategies which increase positive religious coping and reduce negative religious coping must be emphasized to boost mental health among HCWs.