The concept of Religion is present on the world of Remnant and has existed for hundreds of years. There is more than one religion known to exist, with evidence of both monotheistic and polytheistic faiths.
God of Animals
In The Shallow Sea, the God of Animals is shown to recluse themselves in Menagerie, where they bring a small group of people into the island and transform them into the Faunus. Ozpin claims that while being based on a myth, it holds some truth to it.
In The Judgement of Faunus, a conflicting Faunus creation myth, the God of Animals stops a war between mankind and the animal kingdom by transforming them into the Faunus, making them equals and without a reason to fight. Despite being a contradictory creation tale, Ozpin claims it contains no less truth than The Shallow Sea.
The god's powers includes shapeshifting and transforming others into all kinds of forms, at one point taking the form of even mythological creatures such as a roc.
The Faunus cast their god as a wise and noble figure, while mankind's stories portray them as a trickster who is not to be trusted, which is telling of a discriminatory foundation against the Faunus. Notably, the Faunus fairy tales are open-ended and as a result tend to be either bittersweet or depressing, as they have a belief that their story is still unfolding in the present day and they have yet to uncover their true purpose.
The god's existence is questionable as to whether it is true, but they are described in The Shallow Sea as having ram horns when revealing themselves and having branching horns in The Judgement of Faunus, indicating they may be the Brother Gods in disguise. Corsac and Fennec Albain are shown to have paintings of a Faunus figure whose imagery is repeated in the White Fang, which may have some relation to the God of Animals.
The Two Brothers
According to Qrow Branwen, Ozpin claims this religion to be factual and is later revealed to be true.
In the very beginning, two brothers existed on Remnant, filling it with both creation and destruction. The older brother created water, plants and wildlife during the day, while at night, the younger brother would discover his sibling's creations and become disgusted. To counteract this, he created drought, fire and famine to rid Remnant of life. Yet life had a strong ability to endure, so the younger God of Darkness decided to create the Creatures of Grimm. He designed them so they would have an innate desire to destroy everything and anything.
Weary of feuding, the older God of Light proposed that the two of them create one last thing together, a masterpiece they could both be proud of. The younger brother agreed and together they created a creature that was gifted with both creation and destruction, as well as knowledge. Most important was the capability of choosing whether to use these gifts for light or dark. These creatures became known to be Humanity.
After much time has passed and Humanity grew to populate the world, the Gods themselves lived among them in their respective domains. The Humans would often pay homage and prayers to the Gods, but most went before the God of Light to give their pleas as none dare pay respects to his sibling for the dangerous creatures that dwelled in his land.
During this era, the Gods were visited by a young Salem and came to ask for the legendary warrior, Ozma to return from death after he had passed. At first, she beseeched the God of Light but was ultimately denied her request. She then turned to the God of Darkness and manipulated him into granting her wish. When Ozma was brought back, the other God appeared in his brother's domain and almost came to violent conflict. The God of Darkness was under the assumption that his brother had come to take away the praise of a follower he rightfully deserved. However, the God of Light came to inform him that Salem had only come after she had been denied and that her desire would disrupt the balance of life and death. In the end, both brothers came to an understanding. This led to the Gods killing Ozma again and Salem being punished with immortality.
To her anger and frustration, Salem sought the Kingdoms of the world in order to build an army to turn on the Gods. She made false promises and stories that they could take power and authority away from their old masters and rule a world without suffering. When Salem and the forces came upon the Domain of Light, they were met by both Gods and attacked. The resulting act caused the God of Darkness to harness their magic and exterminate all Human life on the planet. In the aftermath, they both deemed the world a failure and a remnant of what their project was. Both departed the world, but not before the God of Darkness left Salem with words of disappointment and shattered the moon in the process. Without their presence, magic was gone and Salem was the only Human left.
At some point, the Gods cursed Ozpin for failing to defeat Salem, and his soul was forced to reincarnate to other hosts eternally. In reality, the God of Light tasked him in his first incarnation as Ozma to prepare the world for Humanity's judgment.
In order to aid him in this endeavor, he would reincarnate in a way that ensured he would not be alone. In addition, the four Relics were created as a means to summon the Gods back to Remnant.
Over time, the true history of the Gods and the world faded into legend. With very many people not being religious, the faith in the Gods became more obscure until it was all but completely forgotten.
In the fairy tale "The Infinite Man", some of Ozma's past lives known as the titular character inspired a young woman to start a religious group called The Circle dedicated to spreading their beliefs about him. While some had doubts and one member of the group even poisoned him, he didn't hold a grudge against the person and many had faith in him despite him warning them that he was merely just a man.
At some point however, the group was destroyed when a band of warriors challenged Ozma and broke their promise of not harming his followers after killing him. By the time he reincarnated again, the only survivor was the woman who started the religion who was an old woman by that point. She was shown to have also lost faith in Ozma, truly believing in his previous warnings about him being just a man, and not even a good one.
The tale itself is usually considered propaganda used by many people in order to teach people not to put all of their faith in just one person or else they will be disappointed. While there are many different versions throughout Remnant, Professor Ozpin managed to collect all of them and put them together in RWBY: Fairy Tales of Remnant to tell a coherent version of the tale.
It's likely that The Circle inspired the creation of Ozpin's Group.
Evidence of Religion
Glynda Goodwitch mentions that the existence of the Maidens goes against hundreds of years of Human religion in "Fall". Some people may believe in one god, while others may believe in multiple, as indicated by Ruby Rose's and Yang Xiao Long's uses of "god" singular in "The Shining Beacon, Pt.2" and the ship captain's use of "gods" plural in "Of Runaways and Stowaways".
In the "Volume 4 Character Short", the town square that Ruby Rose fights in has a church with a pair of feminine statues to either side of its front door, one of which Ruby destroys. The church has a short tower, at the top of which is a circular window with a design that was first seen on the Beacon Vault's floor and above its Aura transfer machine.
- The story of the two deity brothers came to Miles Luna while he was trying to sleep one night. It was his first major contribution to RWBY since he joined Monty Oum and Kerry Shawcross in planning the show.
- In the episode "Fall", Pyrrha Nikos stated that a fairy tale she knew of was called "The Tale of the Two Brothers", which may be based on the two deity brothers.
- During a lightning round section of RWBY Rewind, Eddy Rivas, the Lore Keeper for RWBY, was asked whether different Gods are worshipped in the World of Remnant. He said yes to Jehovah and the Buddha and said no to Savitar. However due to the nature of the lightning round, this should be seen as unofficial.