Religion was an important subject of Dilthey's philosophical reflections. In this essay, I examine this largely untouched thematic area, focusing in particular on one period in his career. My thesis is that the core of Dilthey's philosophy of religion is what I call the "immanence thesis." This is a claim that Dilthey employs in interpreting various phenomena of religious life. Dilthey's view is that religious myths and symbols are ways of articulating the immanent "meaning" or "sense" of historical life. This thesis ties various strands in Dilthey's philosophy of religion into a coherent whole.