There is strong evidence that pony historians either do not exist, or are very bad at their jobs. This creates the mysteries you’re referring to.
 
A concrete example of this is that Celestia’s actual power is not widely understood; she is assumed to have such attributes as omniscience, even though she doesn’t. She is more or less a religious figure whether she likes it or not.
 
I also submit that your definition of religion is flawed. A system of belief that encompasses souls and an afterlife can be termed a religion whether it is provable or not, and they definitely have that; Tartarus exists, and is a place you can just go to whenever you feel like it.

@Background Pony Number 17  
It’s also a basis resorce, which means that it exists not only in the show, but in the minds of creative people looking to expand and explore.

This being a show for little kids, the writers are not going to delve too deep into philosophical matters. About the closest they get to that is the CMCs and their obsession with discovering their cutie marks. It’s the age-old childhood question, “what am I going to be when I grow up?”
 
Which, when you think about it, is actually a pretty profound question, for adults as well as children. So if there’s anything like religion in Equestria, it has to do with ponies striving to discover their “destiny”–that thing which they were created to become. I’m hoping we see more of this in the upcoming season, since cutie marks are apparently a major plot point (er, no pun intended) in it.

@Kirb  
Snooze has kinda taken off in the past weeks, that’s all.

@PonyPon  
Yes, and I acknowledge it for what it was and its influence on the current show. I just didn’t like it, that’s all.

@Kirb  
There are certainly a number that know it did some things well.

@Ichijoe  
They’ve told me what Smooze is. Also this is implying that all bronies like G1.

@Kirb  
Really? You call yourself a Brony, and yet have no idea about what the Smooze is? You should be ashamed of yourself!
 
Cause Nothing Can Stop the Smooze!

And yet we have a Sunbutt Goddess, another Goddess of the Night.  
Move along a few Seasons, and we now have Two other Goddess for Love, and Friendship…
 
Nope no religion here….

@NiGHTS4life  

 
Me too. It’s way more fun to depict her as things she’s not.
 
_j/k

@PonyPon
 
@Background Pony #43D5  
Pretty much this. I expect they’d have cults following certain individuals (if anything, the ponies are more herd-like than real-life humans; Snips and Snails arguably formed an actual Trixie cult before she was discredited), philosophies, objects (Tree of Harmony, anyone?), and events. And probably wouldn’t have the “there’s a god or gods, and we can’t see them, and what they do is mysterious, and here’s a book that was inspired by them and lays out their rules, and you have to accept it all on faith” kind of religion.
 
Granted, it’s a fictional crapsack universe, but look at Warhammer 40K. The Emperor of Mankind, who knows there are actual gods (of Chaos though), tries to eliminate all belief in any gods to avoid empowering them further, and succeeds in destroying all organized religion. The end result of that is a backwards, viciously xenophobic, totalitarian theocracy that worships him.

@Background Pony #85A1  

 
That’s nice. You go use it, and the rest of us will stay here and talk with fewer interruptions.

@NiGHTS4life  
No trap… I felt biased and wanted a new perspective… I got some new input and evidance as well.

This is bait for someone to take. And I also hate the depiction of Celestia being a goddess.

@Background Pony #220E  
I remember that… I wonder what the belief surrounding death is. Would it constitute as religion though?
 
maybe ponies are just passive agnostic.
 
It’s funny how parent groups didn’t freak out over a funeral scene, but instead freaked out over a cross eyed pony with a cute voice.

@Background Pony #220E  
Yeah they very likely have religious ideas regarding the afterlife and likely the origin of their world as well. Religion is more then what is presented here.

In “Hearts and Hooves Day”, the “too old” pony does have a clerical collar, which to me implies the existence of organized religion. Considering that he’s at a funeral, they probably have some religious beliefs regarding the afterlife.

@toonbat  
Is it ornithological? Seriously I don’t know what your talking about.

@PonyPon  
Ah, G1. Thanks!
 
Wait… they’re borrowing more things from G1?! No, I’m not happy about this! >:(
 
@Mr. Horrible  
Ooh… if he’s anything like that, I’m not gonna like Smooze much, I fear.
 
@toonbat  
Is there something strange in the neighborhood? Something weird, and it don’t look good?

@Kirb  
He’s an old and infamous gen1 villain, with a reboot to show up this coming season

@Kirb  
https://www.youtube.com/watch?v=7CnOysetlQw

@Kirb
 
@Background Pony #8BE4  
Something bad is coming down.  
Have you heard the news?

@Kirb  
Spoilers

@Marnssj  
@Mr. Horrible  
Okay, someone answer me. Who the (yay) is Smooze and why does he matter?