Using data on non‐Hispanics from the 2005 Panel Study of Income Dynamics (PSID), this article examines the within‐religion association between religious participation and wages for mainline Protestants, conservative Protestants, and Catholics, the three major religious groups in the United States. While previous studies have examined this relationship for women only and using ordinary least squares (OLS), this article further analyzes gender differences and differences along the wage distribution using a quantile regression (QR) approach. The results indicate that high participation in religious services is associated with lower wages among mainline Protestant women and men, and among Catholic men. Among Catholic women, those who are not participating in religious activities earn higher wages relative to those who participate on a weekly basis. Furthermore, this advantage is more pronounced at high wages, as the QR estimates show. These results suggest the importance of defining religious participation in a manner that allows the detection of nonlinear effects. In addition, the findings speak to the importance of religion in the lives of individuals and may benefit policies dealing with male‐female wage differentials.