This paper employs data from the World Values Survey (1995–2020) and the European Values Study (1999–2020) to test three hypotheses on attitudinal differences between Catholics, Protestants and Muslims: (1) the work ethic hypothesis, which covers attitudes towards work and some fundamental characteristics of the market economy; (2) the social ethic hypothesis, which concerns interpersonal trust, ethical standards and attitudes towards gender equality; (3) the political ethic hypothesis, which involves attitudes towards democracy and political violence, institutional trust and preferences for government-organized redistribution. The empirical analysis provides very little support for the work ethic hypothesis but solid support for the social and political ethic hypothesis. Although the results should be ultimately interpreted as partial correlations, they support the following argument. Market forces and the rise of post-materialist values may have dissolved the original role of a work ethic rooted in religion (especially in the Catholic and Protestant world). Yet, the socio-political ethic associated with Catholicism, Protestantism and Islam continues to manifest itself in attitudinal differences concerning interpersonal trust, ethical standards and gender equality, and in political preferences. A complementary analysis of regions with a historically strong influence of Catholicism, Protestantism and Islam supports this argument and suggests that the current attitudinal differences between the three religions are more related to their cultural and historical legacy than to current personal commitment to their specific doctrines.