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Religion was an important part of the Kenney sisters' lives. Annie said that "for the first few years the militant movement was more like a religious revival than a political movement. It stirred the emotions, it aroused passions, it awakened the human chord which responds to the battle-call of freedom ... the one thing demanded was loyalty to policy and unselfish devotion to the cause."

Annie's sense of spirituality was shared by a number of other militant suffragettes and the archive includes correspondence discussing Christianity, Buddhism, Theosophy and Rosicrucianism.

Annie recalls her mother encouraging a freedom of expression on a number of subjects, including spiritualism, which may have paved the way for Annie’s later conversion to the Rosicrutian order, which she studied to its highest levels, setting out her beliefs in the unpublished manuscript "And All of Yesterdays". This maps out her religious, moral and political philosophy as an older woman, showing a divergence from some of the views held by Christabel Pankhurst.

Having briefly been a Theosophist, Jessie was persuaded by Annie Kenney to join the Rosicrucian Order. She was active for some years in one of the Order's London Chapters, but was drawn towards Catholicism in her last years in Braintree; she was received into the Roman Catholic Church on Christmas Day 1973.