A lifelong Episcopalian, Lilly was especially dedicated to Christ Church, the Lilly family's church on Monument Circle in Indianapolis. As a young boy, Lilly sang in the church's choir. Later, he served as a vestryman. Lilly combined his interests in history and the church by writing "History of the Little Church on the Circle", published in 1957. Christ Church, as well as the Episcopal Diocese of Indianapolis, were recipients of several substantial gifts from Lilly for the church's upkeep, missionary work, and community service, provided that Christ Church remained on the Circle in downtown Indianapolis. In the 1960s displeasure with the political activism of Peter Lawson, the dean at Christ Church, caused Lilly to discontinue his financial support and attend services elsewhere; however, he returned to the church and resumed his financial support following Lawson's resignation in 1971.