Le Roy especially interested himself to the relations between science and morality. Along with Henri Poincaré and Pierre Duhem, he supported a conventionalist thesis on the foundation of mathematics. Although a fervent Catholic, he extended this conventionalist theory to revealed truths, which did not, according to him, withdraw any of their strength. He rejected in the domain of religion dogmas, abstract reasonings and speculative theology in favour of instinctive faith, heart and sentiment. He was one of those close to Bergson who encouraged him to turn to the study of mysticism, explored in his later works. His conventionalism led his works, charged of modernism, to be placed on the Index by the Holy See.