This article is a preliminary attempt to investigate the way in which the initiates into the mithraic mysteries experienced a transformation of their identities in the cultic context. This transformation expanded in the wider framework of their lives and determined new, different lines of action. Since the very processes, through which people acquire a sense of themselves and shape their identity, are determined by specific cognitive principles and operations, the investigation of these processes could help us to understand how Mithraists experienced their participation to the mysteries, and the effects that such an experience had in the way in which they perceived themselves. In this perspective the cognitive theory of Mark Johnson about the narrative dimension of human experience is used as a theoretical framework for an understanding of the broader impact of initiation into the mithraic mysteries on the construction of the initiates’ identities.