We present the first nationally representative evidence on the relationship between religion and subjective well‐being for the case of China. Research on Western societies tends to find a positive association between being religious and level of well‐being. China provides an interesting critical case as the religious population is growing rapidly and the religious and socioeconomic environments are profoundly different from Western societies, implying different mechanisms might be at work. We hypothesize to find a positive association between religion and well‐being in China too, but argue social capital, for which strong evidence is often found in Western societies, is unlikely to be an important mechanism because religion in China is generally non‐congregational. Instead, we argue that the private and subjective dimension of religion matters for well‐being in China by helping adherents have an improved sense of social status relative to the non‐religious in the context of rapid social change and growing inequality. Our results generally support these predictions.