The BBC Two series follows a group of celebrities with differing faiths on an old spiritual pilgrimage route from Ireland to Scotland and Gogglebox star Moffatt opens up on her Christianity.
She is trekking alongside Changing Rooms designer Llewelyn-Bowen, who does not believe in God and describes himself as Pagan, leading to some tense moments between the pair.
As they walk through Ireland together, Moffatt asks him: "Do you not think that there's a higher being that's looking out for us sometimes?"
Llewlyn-Bowen answers: "I don't think it matters. I don't think it matters at all."
Moffatt tells him: "I think it's lovely that I never feel alone even when I've felt my loneliest because there's always somebody there who cares."
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He replies: "I think that's lovely to believe there's a higher being, I think that's a great thing, it just doesn't really work for me. I'm happy for everything to just be mechanical, biological."
But things get a little more tense when the group, which also includes Monty Panesar, Nick Hewer, Shazia Mirza and Louisa Clein, reaches The Stone of Gathering - an ancient monument originally thought to be Pagan which was adopted by Christians between 500 and 700 AD.
As Moffatt gets out as cross she bought in Jerusalem to pay her respects, Llewelyn-Bowen talks about Pagan monuments being commandeered and some of the rest of the group laugh and joke about praying to the stone.
Moffatt walks away in tears, telling the cameras: "Sometimes I think the chat's a little bit much...I just need a little moment."
As she returns to the group, she explains: "I get we can have a joke, but sometimes it's a little bit upsetting when jokes are being made because I am quite a sensitive person."
Hewer asks: "Do you think we're being too jokey?"
Moffatt replies: "Well, a little bit.
"I didn't think I would get upset over it. I am quite a positive person but I've still been through really dark times and without Him I think I probably wouldn't have got through.
"It's making me realise I am a little bit more religious than I thought I was."
Pilgrimage airs tonight (Friday) at 9pm on BBC Two.
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