Before Judah & the Lion became the hip-hop-spiced success it is now, the genre-mashing Nashville trio was a folky worship band. Annoyed about being labeled the “Christian” Mumford & Sons, Judah & the Lion chose to evolve.

“I was really frustrated with that,” banjo player Nate Zuercher said of being pigeonholed, “because it felt like everyone was going to know exactly what we would do. Like we’d just be a le...