Religion is actually an interesting notion... I mean in my headcanon I've worked out effectively how their afterlife works(red: It does not. They have reincarnation and spirits, but no proepr afterlife), but the only ponnies who would know this for sure are the gods, and they aren't talking.
I imagine it could develop in a lot of ways. It's very clear that the ponies have a level of reverance for the goddeses, but it's never made clear how much of this is over divinity versus mere royalty. IT's very probable that the 'main' religion is the worship of one's patron deities, and in this case there'd be little need for overt worship since... well, they have the word of god handed down to them directly. It's called 'the law'.
What mkaes it most difficult to judge is that we don't HAVE any uber-powerful beings to deign as deities, so it's hard for us to predict them. I don't think it's impossible that there would be at least some form of cult that worshipped other things - nature is probably a big one, and It wouldn't surprise me to see an organization that treats magic as a blessing from some unseen god - I recall reading a story that referred to 'the providences', although it had nothing much to do with religion in and of itself. And of course there's always the notion of discord-worshippers, or possibly harmony-worshippers as well. For my own headcanon I consider Harmony and Discord to be twin eldritch abomination who just sort of accidentally made the world through their eternal conflict, so I'm inclined to lean towards that answer...
TL;DR: Society is most likely barely religious, or completely areligious due to a 'god' being a part of every day life and literally governing them anyways, but I imagine there are several smaller religions, so... make shit up, really. Nobody's going to blame you for it. Well. Some people will, but they're well worth ignoring.