We examine conceptual and methodological problems that arise in the course of the scientific study of possible influences of religious belief on the experience of physical pain. We start by attempting to identify a notion of religious belief that might enter into interesting psychological generalizations involving both religious belief and pain. We argue that it may be useful to think of religious belief as a complex dispositional property that relates believers to a sufficiently thick belief system that encompasses both cognitive and non-cognitive elements. Such a conception of religious belief is more likely to correlate with psychological properties of believers that are both sufficiently shared and sufficiently unique to distinguish their psychology from believers in another religion or from non-believers. If the dispositional psychological property that constitutes religious belief does influence pain, then our analysis suggests that it doesn’t do so directly but rather through one of its occurrent manifestations. We offer a taxonomy of the different ways in which occurrent states of belief or experience may interact with physical pain, and we try to identify those that are more interesting or promising. We then proceed to employ the conceptual framework we developed to some of the existing evidence about the neural and psychological correlates of religious belief and experience, and about the cognitive modulation of physical pain. Finally we turn to analyse two experiments that directly investigated the relation between religious belief and pain. We draw attention to the limitations of existing evidence and end by suggesting directions for future conceptual and empirical inquiry.