This study explores the determinants of individual entrepreneurial behavior by investigating the relationship between religious capital and managers’ innovative behavior. To further explain and clarify the religious capital-innovative behavior link, the present study proposes a model to examine the mediating role of entrepreneurial creativity. Structural equation modeling is employed to analyse data gathered from 289 Tunisian small and mid-sized enterprises. With the growth of the small business sector in emerging markets, developing a better understanding of what drives “day-to-day” entrepreneurial activities has become an important issue for academicians and practitioners. By incorporating both religious capital and entrepreneurial creativity into the innovative behavior analysis, this study provides several important practical implications for promoting innovation process in emerging markets. In line with the theory of planned behavior, only religious work ethics are found to increase the innovative behavior of small businesses’ owner-managers. Our findings also clearly demonstrate that the connection between religious capital-related variables and managers’ innovative behavior is better understood if the influence of entrepreneurial creativity, as a mediating variable of the aforementioned relationship, is taken into account.