Minorities facing adverse intergroup contact can experience both increased identification with their ethnic group and decreased identification with a host majority group. First, we argue it is important to understand what is associated with adversity, particularly in previously overlooked samples. Muslim refugee samples are often treated differently and experience more adversity than other immigrants. Second, we combine insights on the role of religiosity in acculturation with the observation that religiosity may not have positive effects in societies that do not value (a specific) religion (religiosity‐as‐social‐value hypothesis) as well as insights from rejection (dis)identification models, to understand which domains of being a Muslim are associated with discrimination, (dis‐)identification and well‐being. We hypothesized that Muslim religious practices, but not beliefs, coping or values, are associated with increased perceived discrimination, and suggest that this is because practices are highly visible. Data from Muslim Afghan refugees in the Netherlands ( N = 183) revealed that indeed only religious practices were related positively to perceived discrimination. Perceived discrimination in turn mediated the relationship between religious practices and dis‐identification with the majority group, as well as the relationship between religious practices and well‐being. We suggest that the visibility of one's religious behaviour is relevant for acculturation outcomes.