Study shows that religious people experience current day rewards and don't just 'store them up for the future'.
A belief in God could lead to a more contented life, research suggests.
Religious people are better able to cope with shocks such as losing a job or divorce, claims the study presented to a Royal Economic Society conference.
Data from thousands of Europeans revealed higher levels of "life satisfaction" in believers.
However, researcher Professor Andrew Clark said other aspects of a religious upbringing unrelated to belief may influence future happiness.
This is not the first study to draw links between religion and happiness, with a belief among many psychologists that some factor in either belief, or its observance, offering benefits.
Professor Clark, from the Paris School of Economics, and co-author Dr Orsolya Lelkes from the European Centre for Social Welfare Policy and Research, used information from household surveys to analyse the attitudes of Christians - both Catholic and Protestant - not only to their own happiness, but also to issues such as unemployment.
Their findings, they said, suggested that religion could offer a "buffer" which protected from life's disappointments.
Professor Clark said: "We originally started the research to work out why some European countries had more generous unemployment benefits than others, but our analysis suggested that religious people suffered less psychological harm from unemployment than the non-religious.
"They had higher levels of life satisfaction".
Purpose of life
Even though churchgoers were unsurprisingly more likely to oppose divorce, they were both less psychologically affected by marital separation when it did happen, he said.
"What we found was that religious people were experiencing current day rewards, rather than storing them up for the future."
However, he said that the nature of the surveys used meant that undetected factors, perhaps in the lifestyle or upbringing of religious people, such as stable family life and relationships, could be the cause of this increased satisfaction.
The precise contribution of religion to mental health remains controversial, although there is other evidence that it does directly improve happiness, said Professor Leslie Francis, from the University of Warwick.
He said that the benefit might stem from the increased "purpose of life" felt by believers.
He said: "These findings are consistent with other studies which suggest that religion does have a positive effect, although there are other views which say that religion can lead to self-doubt, and failure, and thereby have a negative effect.
"The belief that religion damages people is still in the minds of many."
Terry Sanderson, president of the National Secular Society, which represents the interests of atheists and agnostics, said that studies purporting to show a link between happiness and religion were "all meaningless".
"Non-believers can't just turn on a faith in order to be happy. If you find religious claims incredible, then you won't believe them, whatever the supposed rewards in terms of personal fulfilment.
"Happiness is an elusive concept, anyway - I find listening to classical music blissful and watching football repulsive.
"Other people feel exactly the opposite. In the end, it comes down to the individual and, to an extent, their genetic predispositions."
But Justin Thacker, head of Theology for the Evangelical Alliance, said that there should now be no doubt about the connection between religious belief and happiness.
"There is more than one reason for this - part of it will be the sense of community and the relationships fostered, but that doesn't account for all of it.
"A large part of it is due to the meaning, purpose and value which believing in God gives you, whereas not believing in God can leave you without those things."