Religion =/= Mythology

Too many authors and world-builders come up with a bunch of myths and legends and say "that's what the people believe".

The problem is that a real life religion is more than the sum of its stories. It's a mishmash of interpretations that have been handed down over the years, disagreements over which rules are more important, festivals, rituals, and superstitions that may have no basis in the "canon" but are part of the background of everyday life.

Take Zeus for example. Most people today know him primarily as the guy who "throws thunderbolts and turns into a swan to have sex". To the peasants of Classical Greece though, he was the protector of travellers who came to their doors seeking shelter. He was the being they offered a sacrifice to in exchange for another good summer. They probably knew some of the ribald stories, but they were less important than his (perceived) impact on their day-to-day life. To put it another way, it's the difference between your friend's opinion of your boss, who only hears about them when you joke about the office Christmas party, as opposed to your opinion based on working with them on a daily basis.

One series I've seen handle this well is the Elder Scrolls. Most of the in-universe mythologies share the same beats: at some point in the past there were three being who formed the universe, a group of lesser spirits created the mortal plane, and another group of spirits chose not to help. Beyond that they differ wildly in how they interpret the stories. The rift between Altmer and Dunmer is less that the Dunmer believe that certain Daedra are worthy of worship, as why the Dunmer think that certain Daedra are worthy of worship. The belief that the Mundus is a prison is the core of Altmer faith, so when the Dunmer argue that it is actually a testing ground on the path to enlightenment it creates an irreconcilable rift between their religions.