I don't recall anything directly related to religion having been mentioned in the books from Philosopher's Stone to Half-Blood Prince (1-6). The only exception is that Christmas is widely celebrated. In Deathly Hallows Harry and Hermione pass St Jerome's Church in Godric's Hollow and there's one biblical reference (source):
in Harry Potter and the Deathy Hallows, Harry finds two tombstones with Bible (New Testament) quotes on them. His parents' reads "The last enemy that shall be destroyed is death" (1 Corinthians 15:26) while Kendra and Ariana Dumbledore's reads "Where your treasure is, there will your heart be also" (Matthew 6:21).
Two direct references in all seven books (and potentially Harry Potter and the Cursed Child), is this correct?