Fall of Civilizations might interest you. It covers the collapse of past empires, and tries to describe what life was like for the people living in them when they were at their peak, and what we know of life during the decline.

It is not specifically focused on religions, but for most of these cultures their religion was inherently bound up with their politics (both internal and external), economics, industry, and day-to-day life. Describing the society and culture includes a fair amount of detail about their religious beliefs and practices (for instance, you can't really give a useful description of the Egyptian empire without mentioning their gods). Many of the largest surviving ruins have religious significance. Personally, I think framing the religion inside the sociocultural context and history of the civilization makes it more interesting and more understandable.

The Fall of Civilizations YouTube Channel has the podcast episodes set to video of the locations as they are today, along with photos of artifacts from the culture and artistic depictions of what it might have looked like.