"There are Gods - the knowledge of them is self-evident." [Epicurus, Letter to Menoeceus]
The word "natural" has multiple, overlapping meanings, including:
1. present in or produced by nature
2. not acquired; inherent
3. conforming to the usual or ordinary course of nature
4. characterized by spontaneity and freedom from artificiality
5. being in a state regarded as primitive or uncivilized
(the above are taken from here)
Ancient Paganism, both as it is popularly imagined, and as it actually existed, is accurately described as Natural Religion according to all of the above meanings of "natural". I want to emphasize that I am not saying that Paganism is a natural religion, but, rather, that Paganism is Natural Religion itself. I believe that this is not, in fact, a claim at all - but merely a description of what ancient Paganism was, and also an accurate description of how ancient Pagans thought about their various (varying with both time and place) religious traditions.
Fortunately we do not have to guess about what ancient Pagans thought concerning their religious traditions. Homer, Hesiod, and Orpheus were (at least!) as much theologians as they were poets - if in fact we can even speak of there being any difference between the two vocations in archaic Hellas. Pindar, Sappho, Solon and Simonides were also overtly religious in their poetry. Pindar primarily wrote his poems for religious occassions, and in addition to the usual Olympians we know that Pindar also revered Cybele and Pan. Of Sappho, Walter Burkert (in his Greek Religion), tells us that "The worship of Aphrodite finds its most personal and most complete expression in the poems of Sappho." (p.155) Solon is reputed (by Plato and others) to have travelled to Egypt to study religion there, and was the author of the calendar of religious observations for the city of Athens. And Simonides was even associated with a (gruesome) miracle wrought by the Dioscuri (Castor and Pollux).
Unfortunately we have only scattered fragments (at most) of the first philosophers - Thales (ca. 624 BC–ca. 546 BC), Anaximander (610-546 BC), Pythagoras (born between 580 and 572 BC, died between 500 and 490 BC), Heraclitus (535-475 BC), Parmenides (510-440 BC), Empedocles (ca. 490–430 BC), Democritus (460-370 BC), etc. But those fragments leave no doubt that these philosophers were largely (or even exclusively) focused on religious matters.
Thales, of whom Bertrand Russell states "philosophy begins with Thales", is associate with the famous, mystical sounding dictum, "all things are full of Gods." Aristotle is our earliest source for this, and the Stagyrite says, when quoted more fully "Certain thinkers say that soul is intermingled in the whole universe, and it is perhaps for that reason that Thales came to the opinion that all things are full of Gods." This would imply a kind of pantheism on Thales' part - a concept of the Divine being immanent in all things. It also directly connects Divinity with psyche, that is, "soul". Anaximander, by tradition Thales' student, is associated with the idea that the Cosmos is inherently and necessarily just and orderly - a central tenet of Greek Pagan theology.
Concerning Pythagoras one hardly knows where to start. Contemporary scholars are now largely agreed that he was first and foremost a religious thinker of a decidedly mystical bent. It is still in dispute just how much of (and what, if any, kind of) a mathematician and/or scientist he might have been. But it is not in doubt that his successors Philolaus and Archytas made fundamental contributions to the fields of harmonic analysis, optics and mechanics. So from the beginning (or very very near the beginning at any rate) Pythagoreanism was intimately associated with both mystical philosophy and science and mathematics.
Similar observations could be made about Heraclitus, Empedocles and Parmenides. As for Democritus, one of the fragments attributed to him states, "The Gods grant to humans all that is good, both now and in the past. Whenever we encounter anything that is bad, harmful or useless it is not because of the Gods, but rather it is through our own ignorance as mortal humans."
By the time we get to the late 6th century (BC) in Athens, the age of the great tragedians/poets, we find a "literature" that still cannot be disentangled from the Gods and Their "myths". If we wish to know about Dionysos we must turn to Euripides' Bakkhae; and to know Aphrodite and Artemis we must turn to his Hippolytos. Aeschylus provides the earliest (and possibly the original) version of the story of Prometheus as the great benefactor of humankind. Greek "mythology" was as much about the semi-Divine Heroes of the past as it was about the Gods - and this is also reflected throughout the surviving works of Athenian Drama.
The first "historian", Herodotus, was also not only a religious man, but when he wrote his famous Histories he dwelled often and often at some length on the religious practices and ideas of the people he "inquired" about (our word "history" comes from the Greek word for "inquiry"). Indeed, Herodotus is one of our most important sources of information on ancient Greek religion - as well as of the religious traditions of non-Greek peoples ranging across much of Africa, the Middle East and Europe.There can be no doubt that Herodotus was a proud Hellene, and that he had a decided bias in favor of his native land and it's culture, including it's religious traditions. But it is also true that wherever Herodotus cast his gaze he found people who worshipped the same Gods, albeit using different names for those Gods and employing different rites in their worship, and holding different beliefs about those Gods. It is also clear that Herodotus assumes that all religious traditions share a common origin, and that origin is Divine. It was therefore Herodotus' view that the differences that separate the various religious traditions are fundamentally human in their origin - but the commonalities are Divine in their origin.
The naturalness of religion flows directly from the fact that religion is truly "of the Gods". From the dawn of humanity the Gods have sought to teach and help human beings. This is why religion tends to be so inextricably interwoven into every aspect of human society among "primitive" peoples. Everything from how to make their clothes and houses, to how to find and prepare their food - to the very structure of their social organizations - all of it is believed to have been (or at least said to have been) taught to them by the Gods.
Religions arises spontaneously among all human societies because there is nowhere that the Gods cannot go, and no set of circumstances in which the Gods cannot teach and help humans. All along, even as they have instructed us in the making of tools and the building of cities, the Gods have endeavored to teach us more fundamental and profound lessons - in the proper care of our souls.
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