Many of the immigrants who came to the Mississippi Gulf Coast were Catholic, and the prominence of the Catholic church in the area historically and today makes the Coast distinctive from the rest of Mississippi and much of the Deep South. Two Catholic traditions have become a prominent part of the Coast's modern cultural fabric. One tradition is Carnival or Mardi Gras, a period of revelry during January and February that culminates on Fat Tuesday, the day before Lent begins on Ash Wednesday. Parades and carnival balls are held in nearly every community across the Coast in the weeks proceeding Mardi Gras day, which is when the largest and most prominent parades take place in Biloxi. The history of Mardi Gras is documented at the Mardi Gras Museum in Biloxi. Another Catholic tradition found across the Coast is the Blessing of the Fleet, an event that traditionally marks the beginning of the shrimping season. The Blessing of the Fleet involves colorfully decorated shrimp boats filing past an anchored "Blessing Boat" so that they can be blessed by a Catholic priest, usually the Bishop of the Diocese of Biloxi, who sprinkles each boat with holy water and prays for a safe and prosperous shrimp season.

Churches are a common sight on the Coast, and many of them can be considered cultural resources in their own right. St. Michael's Catholic Church in Biloxi has long served a parish with strong ties to the seafood industry, from the Slavonians and Cajuns of a hundred years ago to the Vietnamese of today. The parish's fishing heritage is reflected in its architecture as its scalloped-shaped roof resembles a huge clamshell, and its stained glass windows depict the apostles as fisherman. St. Rose de Lima Catholic Church in Bay St. Louis was built in 1924 for an African-American congregation.

Today, services include performances by the parish's renowned gospel choir, and the church itself exhibits a famous mural that depicts a multi-racial Jesus. Also in Bay St. Louis is the St. Augustine Catholic Church and Seminary which was built in 1922 as the first Roman Catholic seminary in the country established specifically to train African-Americans for the priesthood. Today, it is the oldest existing Catholic seminary in Mississippi. Gulfside United Methodist Assembly located on the Gulf of Mexico in Waveland was founded in the 1920s as a place where African-Americans could come for retreats, and this tradition continues today. In the days before integration, Gulfside was one of the few places in the South where African-Americans could even access the Gulf, let alone find beachfront accommodations.