They arrived at 10:30 a.m. at St. John's Church, a 19th-century Episcopal church across Lafayette Square from the White House.
Trump and and family members attended services there on the morning of his inauguration, on Jan. 20.
The self-described Presbyterian typically attends church only on holidays or special occasions.
Their church appearance was not announced before their departure from the White House.
On Friday, he met with evangelical leaders, where he said: "From the beginning of our nation, Americans have joined together in prayer during times of great need to ask for God's blessing and God's guidance."
During the session,Trump signed a proclamation making Sunday a National Day of Prayer.
"As response and recovery efforts continue, and as Americans provide much needed relief to the people of Texas and Louisiana, we are reminded of Scripture's promise that 'God is our refuge and strength, a very present help in trouble,'" the proclamation read. "Melania and I are grateful to everyone devoting time, effort, and resources to the ongoing response, recovery and rebuilding efforts. We invite all Americans to join us as we continue to pray for those who have lost family members or friends, and for those who are suffering in this tie of crisis."
On Saturday, the Trumps visited the Houston area and Lake Charles, La.
"So many of you are faith-based, and I want to tell you, tomorrow we have national prayer day," Trump said to volunteers at First Church of Pearland, in a Houston suburb. "So go to your church and pray and enjoy the day."