A number of studies have explored the relationship between religious beliefs and gambling (including gambling fallacies and gambling harm) but report seemingly contradictory findings. While some studies have found religious belief to be positively associated with gambling fallacies, others have found it to be a protective factor from gambling harms. One explanation for these differing effects is that gambling fallacies and metaphysical religious belief share properties of supernatural and magical thinking. Nevertheless, social support and moral strictures associated with religion might help protect against an unhealthy engagement with gambling. Using a multidimensional measure of religiosity, we hypothesised that only the supernatural facet of religious adherence would present a risk for gambling fallacies. We analysed two archival data sources collected in Canada (Quinte Longitudinal Study: N = 4121, Mage = 46, SDage = 14, Female = 54%; Leisure, Lifestyle and Lifecycle Project: N = 1372, Mage = 37, SDage = 17, Female = 56%). Using the Rohrbaugh–Jessor Religiosity Scale, we confirmed that the supernatural theistic domain of religion was a positive risk factor for gambling fallacies. However, participation in ritual (behavioural) aspects, such as churchgoing, was negatively associated with risk, and no effect was observed for the consequential (moral) domain. We conclude that multidimensional aspects in religious measures may account for conflicting prior findings.