Lesbian, gay, bisexual and same-sex-attracted (LGB/SSA) individuals in conservative religions often experience stigma, shame, and psychological distress in reconciling their religious and sexual identities, yet religion can also provide existential comfort and social support. We investigated relationships among self-esteem, participation in the Mormon Church, and sexual identity acceptance among 348 LGB/SSA Mormons and ex-Mormons in 2013–2014 and found that the two groups reported similar self-esteem. By testing plausible mediators (family support, gay/SSA identity acceptance, and agreement with Mormon Church policy prohibiting same-sex behaviour) through a path model, results revealed different pathways to self-esteem. Practicing LGB/SSA Mormons reported higher family support and lower gay/SSA identity acceptance than ex-Mormons, while those self-identifying as SSA but not gay reported lower gay/SSA identity acceptance. We suggest that religiously active Mormons demonstrate low self-acceptance of their gay/SSA identity while ex-Mormons suffer loss of familial and social support, resulting in equal self-esteem across church status groups.