In ‘Utility of Religion’, Mill argues that a wholly naturalistic religion of humanity would promote individual and social welfare better than supernatural religions like Christianity; in ‘Theism’, however, Mill defends the salutary effects of hope in an afterlife. While commentators have acknowledged this discrepancy, they have not examined the utilitarian value of what Mill terms ‘illusions’. In this essay, I explain Mill's case against the utility of supernatural religious belief and then argue that Mill cannot dismiss the utility of hope in an ultimate justice since it need not pervert the intellect or morality. There are thus utilitarian grounds to support some supernatural illusions, which undermines Mill's defence of an exclusively naturalistic religion. I conclude with the suggestion that while the utility of religious belief leads Mill toward William James's view, they disagree about whether supernatural religious sentiment has any unique, intrinsic force.