Negative correlations between religiosity or spirituality and depression symptoms have been frequently reported, but relatively few empirical studies have investigated the processes that mediate the relationships. This study investigated four theorized mediators in a single model to assess the unique contributions of self-esteem, social support, meaning in life, and positive religious coping to the relationship between religiosity, spirituality, and two markers of depression, positive affect and negative affect. Path analysis was employed to investigate multiple mediation models in a sample of 352 undergraduates. Non-significant paths were removed, and a second independent sample of 316 undergraduates was used to validate the trimmed models. Results indicated that self-esteem mediated the relationships between spirituality and both positive and negative affect. Meaning in life also mediated the relationship between spirituality and positive affect, while social support mediated the relationship between spirituality and negative affect. Positive religious coping did not mediate either relationship, possibly because the samples were not drawn from populations under stress. The relationship between intrinsic religiosity and positive affect was similarly mediated by self-esteem and meaning in life. Religiosity and negative affect were related through the mediators self-esteem and an unexpectedly adverse factor captured by positive religious coping in the models used.