Many previous studies have linked religiosity to social trust. Yet much of this relation remains insufficiently understood, which is partly due to the fact that religiosity is a multidimensional phenomenon. In this article, we identify several of those dimensions, including the integration in religious communities, the importance of God in people's lives, and the religious context. These dimensions give rise to different mechanisms that produce both trust‐enhancing and trust‐reducing effects. Data from the European Values Survey (2008) were used to test the resulting hypotheses, using multilevel logistic regression models. We conclude that the micro effects are ambivalent: integration in religious communities furthers trust, whereas religious socialization and the importance of God lower trust. On the macro level, we find a strong effect of Protestantism, which is in line with previous studies, but that remains puzzling since the individual‐level difference between Protestants and the other religious traditions was found to be very small. In addition, in contrast to other studies, we found that religious diversity increases social trust.