The present study explored in a sample of Flemish pain patients the role of prayer as a possible individual factor in pain management. The focus on prayer as a personal religious factor fits with the current religious landscape in Western-Europe where personal religious factors are more important than organizational dimensions of religion. Our study is framed in the transactional theory of stress and coping by testing first, whether prayer was related with pain severity and pain tolerance and second, whether cognitive positive re-appraisal was a mediating mechanism in the association between prayer and pain. We expected that prayer would be related to pain tolerance in reducing the impact of the pain on patient’s daily life, but not necessarily to pain severity. A cross-sectional questionnaire design was adopted in order to measure demographics, prayer, pain outcomes (i.e., pain severity and pain tolerance), and cognitive positive re-appraisal. Two hundred and two chronic pain (CP) patients, all members of a Flemish national patients association, completed the questionnaires. Correlational analyses showed that prayer was significantly related with pain tolerance, but not with pain severity. However, ancillary analyses revealed a moderational effect of religious affiliation in the relationship between prayer and pain severity as well as pain tolerance. Furthermore, mediation analysis revealed that cognitive positive re-appraisal was indeed an underlying mechanism in the relationship between prayer and pain tolerance. This study affirms the importance to distinguish between pain severity and pain tolerance, and indicates that prayer can play a role in pain management, especially for religious pain patients. Further, the findings can be framed within the transactional theory of stress and coping as the results indicate that positive re-appraisal might be an important underlying mechanism in the association between prayer and pain.