Religion is a significant part of daily life that affects consumers' decisions and behaviors. Religious consumers are predicted to be more ethical than non‐religious consumers. Nonetheless, past research suggests mixed results. Hence, the present study has two main objectives: (1) to examine differences in moral ideologies and ethical beliefs among religious and non‐religious consumers in Indonesia and Australia and (2) to investigate the impact of moral ideologies and religiosity on consumer ethical beliefs. This is one of the first cross‐cultural studies to compare consumer moral ideology (specifically, idealism and relativism) and consumer ethical beliefs between religious and non‐religious consumers. The results show that religious consumers tend more toward idealism than relativism and have stronger ethical beliefs regarding negative consumer ethical behaviors compared with non‐religious consumers. However, for ethical beliefs regarding specific consumer behaviors, namely, recycling and software piracy/buying counterfeit, the effect of religion was overshadowed by cultural differences between the two countries. This study contributes to the debate on the impact of moral ideologies and religiosity on consumer ethical beliefs. The findings may assist managers and public policymakers in their efforts to mitigate unethical consumer activities. Copyright © 2016 John Wiley & Sons, Ltd.