Intervening in debates on religion and social inequalities, this article advocates a shift from concerns with economic ethics to a focus on religious belonging as embodying class-based cultural distinctions. In the first part, I critically review the literature that draws inspiration from Weber’s concept of Protestant inner-worldly asceticism and advance two arguments: Pentecostal orientations toward this-worldly salvation thwart rationalising potentials and feed into magic, or “occult,” economies instead. Simultaneously, however, Pentecostalism promotes personal autonomy by emphasising the possibilities for radical personal change through conversion and becoming “born again.” In the second part, I draw on Bourdieu’s cultural sociology and show that personal autonomy and certain images of Pentecostal modernity are increasingly deployed within practices of cultural distinction between the modern Pentecostal and economically successful and the backward who remain locked in the past. The article is based on ethnographic research among Pentecostals in South Africa as well as a review of the literature on other African societies.