I just started worldbuilding for my novel project and noticed I started with the pantheon. In this case, it's a logical choice - they are the "viewing audience," after all - but it also occurred to me that:
1. I often start with deities, creation myths, etc; and)
2. I usually work from the assumption that these beings / stories are real. Whether this is verifiable for the characters is another matter, and I rarely use divine appearances ... but as an author, I am treating my gods as if they were real forces. So what I am almost always doing is creating the elements and then deciding how worshippers / religions view them.
There is some advantage to this: you can suggest a framework of what is important to a culture and their values from this starting point. To take Greek mythology, notice that the god of wine is important enough to be in the "top tier," the god of war is often portrayed as a bully no one likes, and the female gods who are most protrayed as positive / admirable are virgins (or at least chaste).
So what about y'all? If you do advance worldbuilding, when do you consider the underpinnings of religion for your society / societies? Or do you wing it unless the story in some way features the divine?