The records that provide clues to religious affiliations are usually: burial records, marriage records, and baptisms. Often these are compiled through a place of worship.
Start with a death certificate. That can state where the person was buried. If it's on church grounds, search for your ancestors in that church's records.
A civil (city, county, state) record of marriage can have a minister/priest/rabbi, etc. listed as the officiator. Try to track down where that person officiated.
Trace the ethnic background of your ancestors. Certain groups are linked with specific religions (although it's not a 100% correlation, of course.)
Obituaries and wedding announcements in newspapers may tell you your ancestors' religion, too.
You need to find as many original documents as possible in order to piece their histories, including their religious histories together.