This article examines the influence of the feeling of exclusion from the labor market on the choice of entrepreneurship to reduce the tension between religiosity and professionalism. Using a life story method, we address experiences of perceived exclusion from Muslim employees who are now entrepreneurs. In particular, the results highlight the dynamics of generalized feelings of exclusion in the labor market during one or several work experiences. This work sheds light on the movements at work toward affinity-type activities and the development of precarious and undeclared business activities after professional disillusionment, without denying the opportunistic dimension of choice. It thereby provides elements for understanding the labor market’s marginal shift toward so-called affinity structures by mobilizing work on entrepreneurial motivations and constraining factors. The study also discuss the need for organizations to take steps toward inclusion. Lastly, this study opens the way for further research on affinity organizations and the inclusion of people who prioritize their religiosity over their professionality in non-religious organizations.