Researchers have expressed growing interest in factors that may explain the relationship between religious involvement and health‐related outcomes. Faith‐based organizations are a significant institution in African American communities, both serving religious/spiritual needs and providing an important source of social capital. These communities often suffer a disproportionate burden of health conditions as well. The present study examined the role of social capital (social support, interconnectedness, and community participation) in the relationship between religious involvement (beliefs and behaviours) and physical and emotional functioning and depressive symptoms, among a national probability sample of African Americans (N = 803). Participants completed telephone interviews. We used structural equation modelling to test hypotheses based on the theoretical model. Results indicate that interconnectedness played a modest mediational role in the relationship between religious behaviours/participation and depressive symptoms. Interconnectedness was predictive of fewer depressive symptoms and marginally with better emotional functioning. Findings highlight the importance of trust in and commitment to one's community for health and have implications for community‐based health promotion initiatives. Copyright © 2014 John Wiley & Sons, Ltd.