Yes, and reasonably regularly while he and Nadya were living in London in 1902-3:
He visited eating houses and churches. In English churches the service is usually followed by a short lecture and a debate. Ilyich was particularly fond of those debates, because ordinary workers took part in them … Once we wandered into a socialist church. There are such churches in England. The socialist in charge was droning through the Bible, and then delivered a sermon to the effect that the exodus of the Jews from Egypt symbolized the exodus of the workers from the kingdom of capitalism to the kingdom of socialism. Everyone stood up and sang from a socialist hymn-book: ‘Lead us, O Lord, from the Kingdom of Capitalism to the Kingdom of Socialism’. We went to that church again afterwards – it was the Seven Sisters Church (Krupskaya, Reminiscences of Lenin, pp. 72-73).
But why in the world did Lenin and Krupskaya attend? There was no free meal, no free lodgings. It’s worth remembering that the reasons people attend church are as diverse as the number of people in the congregation. Not all present believe, not all are orthodox in any sense, not all are ardent. Yet, the relationship with these radical churches was not a passing affair, for when the fifth congress of the Russian Social-Democratic Labour Party (RSDLP) was seeking a safe exilic venue to meet in 1907, they were able to secure the Brotherhood Church in Southgate Road, Hackney, in London. That church, originating in 1887 under the influence of various streams such as Christian socialism, anarchism, pacifism, Quakers and Tolstoy, continues to exist today now as a community in Stapleton.