Social scientists have long been interested in how cultural and structural characteristics shape individuals’ actions. We investigate this relationship by examining how macro- and micro-level religious effects shape individuals’ reports of premarital and extramarital sex. We look at how identifying with one of the major world religions—Islam, Hinduism, Christianity, Buddhism, or Judaism—and living in a nation with a Muslim culture shape the likelihood of sex outside of marriage. Using hierarchical modeling techniques and cross-national data from the Demographic and Health Surveys, we find that ever married Hindus and Muslims are less likely to report having had premarital sex than are ever married Jews and Christians, and an earlier age at marriage does not appear to explain the relationship. Married Muslims are also less likely than affiliates of all other religions, except Buddhists, to report extramarital sex. The percentage Muslim within a nation decreases the odds of reports of premarital sex and this relationship is not explained by restrictions on women’s mobility. These findings contribute to research on religion, culture, policy, and health, as well as our understanding of the macro-micro relationship.