(1) Background: Sub-Saharan African migrants residing in high-income countries are more affected by cardiovascular diseases (CVDs) and associated risk factors than host populations for unclear reasons. The aim was to explore the associations of religion and religious affiliations with CVD risk among Ghanaian non-migrants and migrants in Europe. (2) Methods: The 10-year CVD risk was estimated using pooled cohort equations for 3004 participants from the cross-sectional Research on Obesity and Diabetes among African Migrants (RODAM) study. Logistic regression analyses were conducted to assess associations between religion and elevated CVD risk (score ≥ 7.5) with adjustment for covariates. (3) Results: Religious men in Europe had a lower 10-year CVD risk compared with non-religious men (adjusted OR 0.51; 95% confidence interval 0.30–0.85), specifically men affiliated with Seventh-Day Adventism (0.24; 0.11–0.53) followed by other affiliations (0.32; 0.11–0.94) and Roman Catholicism (0.42; 0.21–0.86). The opposite was found in Ghana, with religious women having higher odds for elevated 10-year CVD risk (1.53; 1.02–2.30) compared with their non-religious counterparts, specifically women affiliated with Reformed Christianity (1.73; 1.03–2.90) and other denominations (2.81; 1.20–6.54). Associations were not significant for men in Ghana and women in Europe. Adjustments for social support, stress, and health behaviors did not meaningfully alter the associations. (4) Conclusions: Christian religious Ghanaian men living in Europe seem to have lower CVD risk compared with their non-religious counterparts, while Christian religious women in Ghana appear to have increased CVD risk. Further unravelling the contributing factors and the differences between sex and environmental settings is needed.