In this study, we conducted a path analysis on data from the National Latino and Asian American Study to investigate the role of religious attendance on mental health among Mexican populations. Using data from 868 Latinos of Mexican origin, we further investigated the extent to which religious attendance mediated the direct path between generation status and lifetime prevalence rates of any substance use disorder, depressive disorder, and anxiety disorder. Results indicate that Mexican immigrants endorsed lower lifetime prevalence rates of depressive disorder, anxiety disorder, and substance use disorder and endorsed higher levels of religious attendance. Second, results indicate a significant negative relationship between religious attendance and prevalence rates for depressive disorder, anxiety disorder, and substance use disorder. Third, results indicate that religious attendance was a mediator for the relationship between generation status and the lifetime prevalence rates of substance use disorder only. These results provide a contribution toward the discussion of the immigrant health paradox and further highlight the role that religious attendance plays in the relationship between generational status and the lifetime prevalence rates of substance use disorder.