The Manchester City and Atletico Madrid strikers appeared topless in the bed with the same woman in the photos which were discovered last week.
According to the UK Sun, the Bible was in one of two bags handed in by a woman to a charity shop in Marylebone, Central London.
The report said the two bags were handed in in May, but the photos were not spotted until staff started sorting them last week.
A source said: “The pictures were instantly recognisable as Jesus and Costa – and both were with the same woman.
“They were both laughing and seemed incredibly relaxed in her company while larking around on pillows without their shirts on.
“The pictures appear to have been taken at different times.
“The charity shop normally gets jigsaws and second-hand clothes, so this was certainly a change from that.”
The source said: “A woman of Spanish or Latin appearance dropped off the bags.
“She said a friend left the UK and wanted to get rid of a few bits and pieces. The woman who brought the bags in has never been back so no one knew what to do with the pics.”
One photo showed a heavily tattooed Jesus pulling a face for the camera.
Intimate photos of football stars Diego Costa and Gabriel Jesus in bed with the same mystery woman found in a bible at a charity shop
However, It’s unclear when the intimate photos were taken.
Diego Costa, 32, who played for Chelsea for three years is now at Atletico Madrid. He is married with two daughters
Gabriel Jesus, 23, who joined Manchester City in 2017 from Palmeiras, broke up with his ex-girlfriend, model Fernanda Queiroz earlier this year.