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Q: Does the Mormon Church believe that God and Mary had physical sex to conceive Jesus?
A: The Church does not claim to know how Jesus was conceived but believes the Bible and Book of Mormon references to Jesus being born of the Virgin Mary.
Qu: “The Only Begotten of the Father (Moses 5:9). These name titles all signify that our Lord is the Only Son of the Father in the flesh. Each of the words is to be understood literally...Christ was begotten by an Immortal Father in the same way that mortal men are begotten by mortal fathers” (McConkie, Mormon Doctrine, pp. 546/7, c.f. Talmage, Jesus the Christ, p.81 where he writes of “celestial Sireship” and “the ordinary operation of the fundamental law of heredity”).
C: Jesus was naturally conceived and not supernaturally, and is just “the only begotten of God in the flesh”. In the spirit we are all sons of God (Joseph F Smith, Gospel Doctrine, p. 69). They avoid Mt.1:20 in this answer in which they claim to believe the Bible account. The answer they give here is simply dishonest and misleading since, in Mormonism, we are all spirit children of God and Jesus is marked out only by the facts that he is 1) the firstborn spirit child (our elder brother) and 2) the only one of God’s children who is literally the Son of God in the flesh. This is a well attested Mormon teaching, they know it, and to deny that knowledge is a lie.
Let me make this clear. All men and women were born to and lived with God in a premortal existence and Jesus is the eldest of that vast family. The only thing that otherwise makes Jesus different is that, while everyone else was born into this world as a result of mummy and daddy having sex, Jesus’ mummy was Mary and his daddy was God; otherwise the operation was no different. McConkie and Talmage are giants of Mormonism in theological terms and their books formative in Mormon thinking. Note McConkie’s words, “Christ was begotten by an Immortal Father in the same way that mortal men are begotten by mortal fathers”. Note Talmage’s reference to “celestial Sireship” and “the ordinary operation of the fundamental law of heredity”. This is what Mormons believe by the term “only begotten”, i.e. only begotten in the flesh but first begotten in the spirit.
Look, the Mormon god is a man with a physical body. He has a wife (or rather wives) with a physical body. Mormon men expect that one day they will be gods with physical bodies with wives who have physical bodies. Vive la difference!
Jesus in America
What Every Mormon Wants: godhood