Lyric discussion by Myswordhand 

Cover art for Gospel lyrics by National, The

I really couldn't say what this song means as a whole, but there are a few different phrases that resonate with me.
If I had to guess, I would say there are several lines that seem to connect to the opening song, "Fake Empire." The way Matt Berninger describes christmas lights as "holiday rainbow lights" reveals the beloved holiday tradition of america (the fake empire) as something hollow.

One last thing I noticed is that Gospel not only closes Boxer nicely, it draws reference to the previous album, Alligator, with the line, "feathers are falling on my feet" (from the song Karen).