"I love my church - warts and all," Colbert told 3,000 students Friday, according to The Associated Press.
The comedian was joined at the New York event, which was billed as a discussion on humor and spirituality, by Cardinal Timothy Dolan.
Colbert, who has taught Sunday school, said his jokes are not at the expense of religion, but rather about the misuse of it, particularly in politics.
"If Jesus doesn't have a sense of humor, I am in huge trouble," he joked.
In a transcript of Dolan's remarks, which were posted on the Archdiocese of New York's website, the cardinal said his two nieces were thrilled he got to spend the evening with Colbert.
"I informed them that tonight would pale compared to being with Clint Eastwood two weeks ago at one of the two national conventions, especially when he said to me, 'Cardinal, you know I played a preacher once, so I know that neck thing you wear is mighty uncomfortable,'" he said.
The cardinal, who was introduced as being a future contender for pope, told Colbert he had deep respect for his commitment to his faith.
"Stephen, part of my admiration for you is that, while you often tease and joke about your faith, and the church, there's no denying that you take your faith seriously, and look to the church as your spiritual family," Dolan told the comedian.