Some naturalists feel an affinity with some religions, or with a particular religion. They may have previously belonged to it, and/or been raised in it, and/or be close to people who belong to it, and/or simply feel attracted to its practices, texts and traditions. This raises the question of whether and to what extent a naturalist can lead the life of a religious believer. The sparse literature on this topic focuses on (a position recognizable as) religious fictionalism. I also frame the debate in these terms. I ask what religious fictionalism might amount to, reject some possible versions of it and endorse a different one. I then examine the existing proposals, by Robin Le Poidevin, Peter Lipton, Andrew Eshleman and Howard Wettstein, and show that even on my version of religious fictionalism, much of what has been described by these authors is still possible.