Wat had a deeply conflicted religious identity: the son of a Jewish scholar, he developed an atheistic worldview as a young boy due to his extensive reading, but converted to Catholicism during his time in Soviet prisons.
Portions of Wat's literary archive, including the audio recordings of interviews with Czesław Miłosz that were edited into Moj Wiek (translated into English by Richard Lourie as My Century), are held at the Beinecke Rare Book and Manuscript Library, Yale University.