Some claims (e.g., that the earth goes around the sun) seem to call out for explanation: they make us wonder “why?”. For other claims (e.g., that God exists), one might accept that the explanation is a mystery. In the present research, we investigate “need for explanation” and “mystery acceptability” across the domains of science and religion, as a window onto differences between scientific and religious cognition more broadly. In Study 1, we find that scientific “why” questions are judged to be in greater need of explanation and less adequately answered by appeals to mystery than religious “why” questions. Moreover, this holds for both religious believers and non-believers. In Study 2, we find that these domain differences persist after statistically controlling for confidence in the premises of scientific and religious why questions (e.g., that “the earth goes around the sun” and that “there is a God”). In Study 3, we match levels of confidence within-participants, and we find that domain differences in need for explanation and mystery acceptability are systematically related to domain differences in epistemic commitments (whether an explanation is within human comprehension, whether the same explanation is true for everyone) and explanatory norms (whether an explanation should be pursued), which could signal domain differences in epistemic and social functions, respectively. Together, these studies shed light on the role of explanatory inquiry across domains, and point to different functional roles for scientific and religious cognition.