Although previous studies have found a protective association between attendance at religious services and depression, the extent to which this association is driven by depressed persons’ dropping out of religious activities is not clear. The authors examined whether early onset of a major depressive episode (MDE) predicted a subsequent decrease in religious service attendance. Data came from 3 follow-up studies of the National Collaborative Perinatal Project birth cohort (mean age = 37 years at last follow-up; n = 2,097; 1959–2001). The generalized estimating equations method was used to calculate the impact of an early MDE diagnosis (before age 18 years) on the likelihood of change in level of religious service attendance from childhood to adulthood. Twenty-seven percent of study participants met the criteria for lifetime MDE (n = 567), of whom 31% had their first onset prior to age 18 years. Women with early MDE onset were 1.42 times more likely (95% confidence interval: 1.19, 1.70) than women with adult-onset MDE or no lifetime MDE to stop attending religious services by the time of the first adult follow-up wave. No significant associations were observed among men. These findings suggest that women are more likely to stop attending religious services after onset of depression. Selection out of religious activities could be a significant contributor to previously observed inverse correlations between religious service attendance and psychopathology during adulthood.