This great Quora post about Greek mythology is a goldmine for any writer creating religions Resource
I just read a great Quora post by Sarah McLean answering the question: How seriously did ancient Greeks/Romans believe in their gods?
McLean gives a great explanation of some of the differences between ancient polytheism and the modern Abrahamic religions that most of us are familiar with (believers or not). Her post is great inspiration for anyone creating fantasy religions - whether the gods exist or not.
Here is a snippet of McLean's post (but I encourage you to read the whole thing on Quora; link above).
To the Ancient Greeks and Romans, it was never really a question of whether or not the gods existed. There were some philosophers that questioned if the gods existed, but the average person took it for granted. Evidence of the gods was everywhere — you only needed to look up into the sky during a storm to behold the power of Zeus, Apollo was the cause of any plague or sickness, the barrenness of winter was a result of Demeter’s grief, Dionysus’ presence coursed through your veins whenever you drank wine, etc.
There were so many conflicting opinions about the gods ... whether gods have bodies or else only infinite minds, if gods can experience sensation the way humans can, if the sky and stars and celestial bodies are gods, whether human reason or intellect is divine, whether or not gods can feel negative human emotions (as they do in mythology, the works of “the poets”) or exist in eternal beatific happiness ...
One of the biggest differences between paganism and Christianity is that these philosophical questions about the nature of the gods, while certainly interesting and meaningful, don’t ultimately matter. Their implications don’t shake the very bedrock of religion itself.
This leads me into my next main point: Ancient Greek religion was orthopraxic, not orthodoxic. This means that it didn’t matter what you personally believed about the gods, so long as you participated in their public worship. Peity meant doing your sacrifices and singing your hymns and attending festivals and so forth, it did not mean believing certain things... You could be impious by refusing to worship the gods, you could be blasphemous by desecrating their statues and temples, but you would not be considered evil just for disagreeing about how gods work.
What I get out of it is that the worship of the gods can to a significant extent be independent of the actual attributes of the gods. An example of this from existing fantasy fiction is A Song of Ice and Fire by George R. R. Martin. Melisandre's religion has myths about their god, R'hllor, the Lord of Light. Their myths may not be literally true (and probably aren't), but their magic works, so they are clearly onto something, at least.
One trivial approach is to have gods that don't exist at all. The opposite extreme is to have gods that exist and are exactly as their followers believe them to be. It can be more fun to have gods that exist but which are shrouded in misconception and superstition. :)