Objectives: To examine the associations between several measures and categories of religiosity and cognitive function across sex and European regions. Methods: We conducted a longitudinal study including 17,756 Europeans aged 50 and older who participated in the Survey of Health, Ageing and Retirement in Europe wave 1. Participants were followed for up to 15 years. Associations were analyzed using linear mixed effects models adjusted for several potential confounders. Results: Religious service attendance was consistently associated with better cognitive function (coefficient: 1.04, 95% CI 0.71; 1.37) across sex and European regions. Praying was also associated with better cognitive function but only among men (coefficient: 0.55, 95% CI 0.15; 0.96). However, individuals who received religious education from their parents had poorer cognitive function (coefficient: −0.59, 95% CI −0.93; −0.25). The association persisted in women and among both sexes in Western Europe. Comparing different religious categories to the non-religious, participants who were religious in childhood showed an inverse association with cognitive function, while persistently religious men exhibited better cognitive function. Conclusions: Our findings indicate that religious service attendance and, to a certain extent, prayer is associated with better cognitive function. However, receiving religious education in childhood may be linked to lower cognitive function.