Traditional gender beliefs and gender prejudice (sexism) are thought to play a key role in the reproduction of gender inequality. It is known that such traditional gender beliefs are more common among strongly religious people. Europe is facing a growing population of religious, often immigrant youth from Islamic countries such as Turkey and Morocco. Against that background, we investigate how ambivalent sexism is related to adolescents’ religious affiliation (being Christian or Muslim), religiosity (how important religion is in one's life), perceived pressure for religious conformity and ethnic background (native, Turkish, Moroccan) by performing multivariate multilevel regression analyses. We rely on data from two independent samples gathered in 2013 and 2018 by the Youth Research Platform among Dutch-speaking boys (N = 1637) and girls (N = 2058) between 14 and 18 years old. The results show the gendered ways in which religion and ambivalent sexism towards women are related. For girls, ambivalent sexism was related to perceived pressure for religious conformity and ethnic background (more group-level aspects). Boys’ ambivalent sexism was related to more individual-level aspects such as higher religiosity. No differences were found between Muslim or Christian youth.