Colby has long been associated with Methodism. John Wesley preached at Balladoole in 1781. The first Methodist preacher arrived in the village in 1822 and a local house was set up, as the Preaching House, for Primitive Methodists. By 1883 two Methodist chapels were built.
Colby Primitive Methodist Chapel on the Main Road closed in 1950, when the two chapels united. This is now a private house. Colby Wesleyan Methodist Chapel on Station Road is a cheerful white church with vaulted windows and now has a glass atrium and disabled access.