This paper examines differences in religious behaviors of the native born and immigrants in Europe, measured as self-reported religiosity, frequency of praying, and frequency of church attendance. Using the European Social Survey, we first show that, on average, religiosity of immigrants is higher than that of the native born, even among those without a religious affiliation. We test hypotheses that can explain these observations. Differences in individual characteristics, such as age, education, income, marital status, and notably denominations, partly account for the overall differences. Religiosity of immigrants declines with duration in the destination. Both origin and destination country characteristics, such as economic development, religious pluralism, religious freedom, and societal attitudes towards religion are important predictors of religiosity. These external factors are able to fully explain the difference in church attendance between immigrants and the native born.