This study explores how a group of young British Muslim gay men (BMGM) of Pakistani background in non-gay affirmative religious contexts understood and defined their sexual, religious, and ethnic identities, focusing upon the negotiation and construction of these identities and particularly upon strategies employed for coping with identity threat. A total of 12 BMGM were interviewed using a semi-structured interview schedule. Transcripts were subjected to qualitative thematic analysis as described by Braun and Clarke. The aim was to explore participants' lived experiences through the interpretive lens of identity process theory. Four superordinate themes are reported, entitled ‘I'm gay because … ’: making sense of gay identity, ‘It's all about temptation’: invoking religious discourses to explain sexual identity, ‘Going against God’: fear of divine retribution, ‘It's easier to be gay here’: external attributions and British national identity. The data suggest the existence of an additional identity principle, which is referred to as the psychological coherence principle. This motive represents the need to ensure a sense of coherence between existing identities, and we discuss how individuals may adopt strategies to deal with threats to the principle.