Debates about whether the relationship between religiousness and depression is nonlinear have continued, but no definitive conclusions thus far have been drawn. Unlike most previous research in this area, which has been based on U.S. populations, this study focuses on a sample of 882 young rural Chinese women. Results from analyses reveal an inverse U‐shaped relationship between intrinsic religiosity and depression. In addition, results show that intrinsic religiosity and religious activities exacerbate the deleterious effects of particular life events such as childbirth issues and marital conflicts. Implications of the findings for future studies on the subject are discussed.