This article deals with individual and contextual effects on the religiosity of first and second generation migrants in Europe. Noticing that little attention has been directed towards intergenerational transmission of religion in processes of integration, we argue for an intergenerational perspective on immigrant religiosity. Social integration theory is used to derive the hypothesis that second generation immigrants are less religious than the first generation. Perceived discrimination is introduced in the immigrant-religion research to account for the stress buffering capacities of religion. On the contextual level we expect a positive effect of native religiosity and religious diversity. Three aspects of religiosity are examined: (1) religious affiliation, (2) inner religiosity and (3) praying. We use four waves (2002–2008) of the European Social Survey (ESS) in a 3-level random intercept multilevel model with 19,567 individuals, 235 regions and 26 countries. Among others, the most interesting results are that (1) second generation immigrants are less religious than their first generation counterparts, (2) perceived discrimination has a positive effect on immigrant religiosity and the effect is greater for the second generation, (3) native religiosity has a positive effect on immigrant religiosity with a greater effect on the second generation as well and (4) the influence on migrant religiosity is more salient at the regional than at the national level.