I talked to students about the research of religion, as it is separated into the study of practices and the study of beliefs. The study of practices is represented by such disciplines as anthropology of religion, sociology of religion, cognitive science of religion. But religious practices have tight connection to religious beliefs, as we presuppose that beliefs motivate actions. The study of religious beliefs, in turn, is a task for philosophy of religion. I described the philosophical idea of belief as a mental state with a certain content. The content of beliefs must fit the states of affairs in order to be true. Then I have shown why religious beliefs are puzzling from philosophical perspective.