The historians of the various nations have given us their accounts -- accounts, it goes without saying, that offer us a very one-sided version of their national religions, and a biased view of the religions of surrounding peoples. The prophets of the Jews and their great hero, Moses, wrote the history of their people in a way designed to favor their beliefs. The Egyptian view of the Jews, not surprisingly, is quite different. Yet behind these views, these national prejudices, is an ancient logos that has existed from the beginning -- a logos, so it is said, maintained by the wisest men of all nations and cities. This logos has been held not only by the sages among the Jews, but by the wise men of the Egyptians, the Assyrians, the Indians, Persians, Odrysians, Samothracians, and Eleusians. The Galactophagi of Homer, the Druids of Gaul, and even the Getae (for example) believe logoi very close to those believed by the Jews -- indeed, before the Jews. Linus, Musaeus, Orpheus, Pherecydes, Zoroaster the Persian, and Pythagoras understood these logoi, and their opinions were recorded in books which are still to be consulted.If there were truth in advertising, the Abrahamic religions would be known as "Religions That Burn Books", rather than as "Religions of the Book." And Pagan, polytheistic religions would be known as "Religions of the Library."
[Celsus Alethes Logos, Hoffman translation/reconstruction, p. 55]
Sometimes one will hear the claim that ancient Pagans had no theology, never mind the fact that theology is, and quite obviously so, a Greek word originally coined by Greek Pagans. Similarly, one also hears that ancient Pagans had no sacred texts. This despite the fact that if one goes back far enough in human history there is literally no literature at all other than the sacred literature of Pagans.
I think the confusion arises because when monotheists envision a "canon" of sacred texts, they think of something that you can hold in one hand, perhaps even discretely slip into your pocket. But it turns out the more Gods you have, the more sacred writings you have. So Pagans have whole libraries filled with our sacred texts. One book, even a big book, simply won't do.
Orpheus, Homer and Hesiod, for examples, were at least as much theologians as they were poets. And this is nearly as true for Sappho, Simonides, Solon, Pindar, Callimachus, Apollonius, etc. And that is just the Greeks! Lucretius, Vergil, and Ovid, and many more, could be added as well from the ranks of the Romans.
In the late fourth and early fifth centuries AD, die-hard Pagans such as Macrobius and Servius spoke of Vergil as Pontifex Maximus. And throughout the Middle Ages The Poet was considered a semi-divine being not only in "high" literature such as Dante's Divine Comedy, but in popular beliefs current among the illiterate masses, who envisioned Vergil as a Magician, Sage and Saint.
(As the case of Vergil very nicely illustrates, the current obsession with distinguishing sharply between the culture of the "elites" and that of the "people" is largely a baseless modern intellectual fad. Homer's poems did not start out as written literature at all, nor did Vergil's Aeneid. These were originally part of the oral popular culture of "the people" long before any Greeks or Latins ever learned to read and write. And so our sacred literature has always been for all Pagans regardless of wealth or social station, not just the "elites" and/or the privileged and educated.)
No less an authority than Peter Brown has acknowledged that Vergil's works, "like the Bible", amount to "an inexhaustible source of precise religious information." Brown speculates that Augustine felt compelled to undertake the arduous task of writing his extended attack on Paganism (City of God: Against the Pagans) at least in part to counter the ongoing threat posed by Vergil, this Pontifex Maximus who had been dead for over four centuries. Vergil was perceived as so threatening because regardless of how few Pagans were still left at the time, and regardless of the fact that these had been deprived of their temples, their priests, their public processions, etc., and had been reduced to skulking about praying to their Gods in secret in small groups or alone as individuals, nevertheless, so long as the works of Vergil were still available he could be looked to as an eternally living teacher and even as the chief priest of the Old Religion. To read more of what Brown has to say on the subject of Vergil and his religious significance see his biography of Augustine, especially Chapter 26: Magnum opus et arduum.
So Pagans are not lacking in sacred literature. Nor is the content of that literature lacking in it's depth or breadth (all of western literature is based on it, in fact!), or in the reverence which Pagans have had (and at least some Pagans still do have) for these precious texts. Pagans do, however, lack a rigidly circumscribed religious "canon", precisely because we lack a process of canonization. It has simply never occurred to Pagans to draw up a single list and say these books, and only these books, are sacred, while the rest should be burned (along with anyone caught reading them). And, even more completely unlike monotheists, Pagans have an expansive, inclusive view of the sacred literature of "others", so that the Greek honors the sacred books of the Egyptian, and vice versa, and so forth.
[Also see Religions of the Library, Part Deux.]