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Yoga is not a religion.

As T.K.V. Desikachar wrote in "The Heart of Yoga:"

"Yoga has its roots in Indian thought, but its content is universal because it is about the means by which we can make the changes we desire in our lives . . . It is not necessary to subscribe to any particular ideas of God in order to follow the yoga path."

The Yoga Sutras describe an approach to life that is compatible with having a specific religious faith, but it is also compatible with simply trying to lead an ethical life.