Religion in Game of Thrones
Religion in Westeros

The Importance of Westeros
To begin, Westeros is the most Western part of the known world in the Game of Thrones universe. This is where most of the characters that we become familiar with come from, as well, it is dominantly where the story occurs. Westeros is generally the "most important" part of the world due to the fact that Kings Landing is located in it - the city wherein the rulers of the continent live. As assumed by the title of the series, the throne is a massive symbol of power that characters spend the majority of the series pining over. Therefore, Westeros and it's intricacies of religions are very important.
Lack of Secular Influence in the Crown
In Katherine Tucker's article titled, "Violence, Politics, and Religion: Cosmic War in Game of Thrones" she studies the Game of Thrones universe as a case study for how religions in the real world could interact with power in a less domineering way. In this article she states one of the most interesting things about the Game of Thrones universe is the fact that when the series begins, there is virtually no secular influence in the crown. This changes over time as the "faith of the seven" begins to overthrow the crowns ruling. However, when looking at this type of relationship between power and religion at the beginning of the series, the reason why the lack of outright religion is important is because the rulers stand in the place of something for the majority of the population to look up to.
Something important to note in this is that there is no blatant religious uprising until the population of Kings Landing becomes enraged with the fact of the disparity of wealth in relation to the rulers. This indicates the reasoning behind why traditional religion would begin to overthrow the power of the main rulers. If there is this obvious hierarchy for long enough, and the population is living in compromising circumstances, they will devolve into choosing another faith to follow. In this case, The Faith of the Seven steps in.

Here we see a typical image of Kings Landing. The disparity of wealth in regards to the majority of the population to the crown is evident here.
(Baker, Davey. King's Landing. 2019. ArtStation, https://www.artstation.com/artwork/rRPkz6.)
The Old Gods of the Forest
Those who worship the Old Gods choose to stay true to the original aspects of the land that Westeros once was as it was the original faith that the majority of people followed. The lore surrounding the establishment of the Old Gods is a story of creation of the world. The Old Gods were worshipped by the Children of the Forest and eventually the First Men as they created a harmonious society for them to live in together. It was the Old Gods duty to protect The Children of the Forest as they were the rightful Indigenous people of Westeros. Therefore, when the First Men came to Westeros and began tension and fighting with the Children, the Gods stepped in to create a standstill between them. The Gods got the two groups to make a land pact to insight harmony and peace in their situation of living on the same continent. The First Men agreed not to fight the Children of the Forest under the circumstances that they would be kept separate. Because the Children of the Forest were largely influenced by the land, they were to stay in the deep forests, as long as the First Men would not cut down the trees. The First Men were promised the rest of the land as long as they would respect it.

Pictured here is a photograph of Brandon Stark before a weirwood tree. The Stark's are the ruling family of Winterfell, which is a dominant community in the North.
The Faith of the Seven
The other dominant religion in Westeros is that of the Faith of the Seven, sometimes know as the "New Gods". The "Seven" refers to a monotheistic God that has seven faces to represent different aspects of life and existence. This faith originated in Essos (the continent East of Westeros) and was brought to Westeros by the Andals nearly six thousand years prior to the beginning of the series. This occurred due to the Andals invading Westeros and killing off the majority of the First Men and the Children of the Forest. This was another attempt at erasure which was much more successful than the previous attempt by the First Men. By this happening, the Andels were able to almost entirely replace the faith in the Old Gods, and replaced it with that of the new - except for in the North and the Iron Islands, which remained virtually untouched by the invasion.
In current time in the story, the history of the invasion of the Andels gives context as to why the following of the Old Gods is still very prominent in areas besides the South. This explains a lot of behaviour regarding the people of these two areas as well, as those who live in the North and Iron Islands generally do not practice organised or strict religious practices, and as previously stated, there alliance is mainly with appreciation for the land. However, the Faith of the Seven is a much more extreme religion where it has a more cult-like following to it.
The cult-like following of the new faith predominantly came from a revolution using the faith as a symbol of uprising. This came from the development of the "Sparrows". The Sparrows were formed from groups of "smallfolk" which suffered poverty and class struggles as a result of the crown failing to protect them in the War of Five Kings. As the lower class people of Kings Landing were unhappy with the crown, they took solace in the newfound faith of the Sparrows who followed the messages of the New Gods. However, once the crown binded with them, they took very extreme precautions to ensure even people who were protected by the crown would suffer repercussions for their ungodly actions. This includes the Kings Mother (Cersei Lannister) , the Queen (Margaery Tyrell), and her brother (Loras Tyrell). All of these individuals who would otherwise be protected by the crown and their riches were jailed for different reasons. Cersei for adultery and incest, Loras for adultery and homosexuality, and Margaery for perjury (in lying for Loras). These accusations and reasons for jailing reflect the extremely strict nature of the Seven and the High Sparrows.

Here we see the Seven Pointed Star which is a very important symbol in this religion. It represents the seven aspects of the faith unified into one strong entity.
"Game Of Thrones - Histories & Lore: Religions"
by Dariusz Sobotka
This YouTube video lends comprehensive understandings of the religious histories in the Game of Thrones universe.