On the basis of self-determination theory, we predicted that the pursuit of material goals might negatively affect quality of life and psychological outcomes including sleep quality and mood states. We further hypothesized that the link between religious affiliation and these outcome variables could be explained, at least partially, by life goals. Longitudinal data collected from 700 Chinese adults demonstrated that for both Christians and non-believers, material goals had a detrimental effect on outcome variables measured 6 months later. More importantly, material goals partially mediated the effects of religious affiliation. That is, Christians were different from non-believers on the outcome variables partly because the former did not go after material goals. For these believers, moreover, the pursuit of religion-based goals brought psychological benefits. Not only can certain life goals explain why people with religious faiths have better psychological health and quality of life, they can also explain why not every religious person feels good and is content about their lives.