This paper investigates religiosity among immigrant children in four European countries: England, Germany, the Netherlands and Sweden. Drawing on major strands of theories in the sociology of religion and of migration, we analyse intergenerational change in religiosity within immigrant families of different religious affiliation and test how far common arguments can contribute to explaining existing patterns. We overcome several challenges and shortcomings in this field by studying adolescent-parent dyads. Using strictly comparable and comprehensive data from the new Children of Immigrants Longitudinal Survey in Four European Countries (CILS4EU), we find a considerable stability of religiosity or even an increase therein within Muslim immigrant families, in contrast to Christian immigrant families, whose religiosity declines over generations. This finding is astonishingly stable across the four countries. Our analyses furthermore suggest that interfamilial change in religiosity is only weakly related to assimilation processes in other domains of life.