In an interview in the October 1991 Ladies' Home Journal that was advertised as her "most candid" ever, Hepburn said, "I'm an atheist, and that's it. I believe there's nothing we can know except that we should be kind to each other and do what we can for each other." p.215
The full video of Katharine Hepburn with Dick Cavett has surfaced and here are some of the quotes (video below)
"No I don't think you go anywhere when you die. I hope you just lie in the ground, happy, at rest at last. I don't feel the slightest interest in the next world, I think it's here. And I think anything good that you're going to do you should do for other people here and not so you can try to have a happy time in the next world <points up to sky>." - Katharine Hepburn
"I don't believe in religion. I believe the example of Christ. I believe in the example of a perfect human being that if you can live for other people away from yourself you will be happy. If you live for yourself you will be unhappy and then you will not be able to sleep or do anything else... finally. I think insofar, and I really believe this, insofar as people do live with the other fellow [God] in mind, they have to be happy you know? Because it raises you up." - Katharine Hepburn
Here Katharine gives respect to religion for it's power to motivate people to do good.
"After all we have no notion as to what the next world is if there is one. So there is no point in that."
Katharine believes wasting time on preparing for an afterlife is useless unless we know what the "next world" is.
"Now I hear people say they don't know the difference between good and bad. I know totally for myself the difference between right and wrong. Totally. I know this because wrong makes me very uncomfortable and right makes me very happy. And I don't think it's so very difficult to know when you're doing the right thing and when you're doing the wrong thing. And I think each person the right thing and the wrong thing varies. But committing a stinking act to someone else should make you unhappy, if it doesn't you are diseased, and you certainly are miserable."
After those statements Katharine starts talking about how Christ could rise above all by being decent. And that if we focus on being good to others we will rise up above pain.