This study examines the relationship between religiosity and the affective and immune status of 106 HIV-seropositive mildly symptomatic gay men (CDC stage B). All men completed an intake interview, a set of psychosocial questionnaires, and provided a venous blood sample. Factor analysis of 12 religiously oriented response items revealed two distinct aspects to religiosity: religious coping and religious behavior. Religious coping (e.g., placing trust in God, seeking comfort in religion) was significantly associated with lower scores on the Beck Depression Inventory, but not with specific immune markers. On the other hand, religious behavior (e.g., service attendance, prayer, spiritual discussion, reading religious literature) was significantly associated with higher T-helper-inducer cell (CD4+) counts and higher CD4+ percentages, but not with depression. Regression analyses indicated that religiosity's associations with affective and immune status was not mediated by the subjects' sense of self-efficacy or ability to actively cope with their health situation. The associations between religiosity and affective and immune status also appear to be independent of symptom status. Self-efficacy, however, did appear to contribute uniquely and significantly to lower depression scores. Our results show that an examination considering both subject religiosity as well as sense of self-efficacy may predict depressive symptoms in HIV-infected gay men better than an examination that considers either variable in isolation.