My research has been deeply influenced by Wayne Proudfoot’s insistence that scholars have an obligation to begin by analyzing the worldviews of their subjects in a way that their subjects would recognize, a point that the editors of this volume are making with respect to studying even the most controversial subjects. But, having done so, Proudfoot claims it is entirely legitimate for scholars to explain their subjects’ worldview in other terms. Building on Proudfoot’s distinction, I argue that immersing ourselves as fully as possible in the religious worlds of others, whether as historians, anthropologists, or social scientists, is an essential precondition for explaining their worlds in social scientific terms. It is only through my immersion in insiders’ worldviews that I discovered what I needed to explain. To explain how religious worlds in which subjects are guided by otherworldly entities emerge and are sustained, I have found that I cannot limit myself to one explanatory modality, but have been challenged to develop more dynamic, multi-level explanations that draw from psychology and sociology or from what some are now calling the cognitive social sciences.