The article deals with the doctrines of Orpheus and Pythagoras about the immortality of the soul in the context of the birth of philosophy in ancient Greece. Orpheus demonstrated the closeness of heavenly (divine) and earthly (human) worlds, and Pythagoras mathematically proved their fundamental identity. Greek philosophy was “an investment in the afterlife future”, being the product of the mystical (Orpheus) and rationalist (Pythagoras) theology.