Previous analyses in a large population-based sample of female twins indicated that three dimensions of religiosity – personal devotion, personal conservatism and institutional conservatism – were, in different ways, significantly related to current depressive symptoms and substance use and lifetime psychiatric and substance use disorders. Furthermore, personal devotion, but neither personal conservatism nor institutional conservatism, buffered the depressogenic effects of stressful life events (SLEs). We here explore further these results, using linear, logistic and Cox regression models. Eight personality and six demographic variables had distinct patterns of association with the three dimensions. Personal devotion was positively associated with years of education, age, and optimism and negatively correlated with neuroticism. Personal conservatism was negatively associated with education, income, age, mastery and positively correlated with neuroticism. Institutional conservatism was negatively correlated with self-esteem and parental education. Covarying for these 14 variables produced little change in their association with psychiatric and substance use outcomes. The impact of the dimensions of religiosity differed as a function of the SLE category. High levels of both personal devotion and institutional conservatism protected against the depressogenic effects of death and personal illness. High levels of personal conservatism were associated with increased sensitivity to relationship problems. These results suggest that the association between religiosity and low risk for symptoms of depression and substance use may be in part causal. The relationship between dimensions of religiosity and response to SLEs is complex but probably of importance in clarifying the nature of the coping process.