Lower socioeconomic status (SES) harms psychological well-being, an effect responsible for widespread human suffering. This effect has long been assumed to weaken as nations develop economically. Recent evidence, however, has contradicted this fundamental assumption, finding instead that the psychological burden of lower SES is even greater in developed nations than in developing ones. That evidence has elicited consternation because it suggests that economic development is no cure for the psychological burden of lower SES. So, why is that burden greatest in developed nations? Here, we test whether national religiosity can explain this puzzle. National religiosity is particularly low in developed nations. Consequently, developed nations lack religious norms that may ease the burden of lower SES. Drawing on three different data sets of 1,567,204, 1,493,207, and 274,393 people across 156, 85, and 92 nations, we show that low levels of national religiosity can account for the greater burden of lower SES in developed nations. This finding suggests that, as national religiosity continues to decline, lower SES will become increasingly harmful for well-being-a societal change that is socially consequential and demands political attention.