One of the driving forces behind the Great Crusade for the Emperor was to abolish religion. (How displeased he must be that he's revered as a god.) So the various human civilizations across the galaxy likely had a host of multiple religious beliefs. Even the Primarch Lorgar was devote in his faith and used the Word Bearers to spread it, something that drove arguments between him and the Emperor.
"Fetch me another plaything. This one seems to have broken." -Urien Rakarth
Space Marine- "This planet is ours, witch."
Eldar- "No ... This planet is theirs ..."