Using Spanish microdata from the Survey on mental health during the COVID-19 pandemic conducted in February 2021 by the Centre for Sociological Research (CIS), this paper aims at identifying individual factors associated with an increased risk of mental or emotional distress arising from two different sources: a general pattern of depression or anxiety and distress specifically associated with the pandemic as measured by fears and worries about one's own or others' lives and job and income insecurity due to the COVID-19 health crisis. We explore gender differences in both types of mental distress as well as the role of individual religiosity, measured as religious beliefs and behaviours, as a potential coping strategy. In both general and COVID-specific mental distress, our results provide evidence of gender differences in the risk of suffering these conditions, with a higher incidence among women. We also find that religious beliefs and practice seem to have served as a coping strategy that has allowed females to narrow the gender gap, particularly for practising Catholics. The evidence is stronger for mental distress associated with anxiety or depression. However, it is still present, albeit to a lesser extent, for suffering caused by pandemic-related mental stressors. Our results suggest that religious practices and beliefs might play a key role in alleviating additional distress symptoms caused by emergency situations such as those suffered during the COVID-19 pandemic.