Religion seems to be a topic that the creators of Suikoden try to keep unimportant within the Suikoden world, because there's very little detail given about faith in general.
There are scattered cases of religion being mentioned in the game, such as how Valeria mentions "god" in Suikoden 1 (and is told by SME soldiers "god doesn't exist"), and the existence of a church in Tinto, and a marriage ceremony in Highland officiated by a priest, etc.
In the case of the teh christian-esque church in Tinto, in-game info tells you that the priest was sent from Harmonia, so whatever faith that is in Harmonia seems to be modeled from Christianity (and Catholicism in particular).
The marriage ceremony between Jowy and Jillia is officiated by a priest who mentions the Circle Rune, so likely the priest was sent from Harmonia as well. The fact that Highland is a vassal state of Harmonia only strengthens how the Harmonian faith may be widespread within Highland.
Harmonia itself has been clearly defined as a sort of theocracy, where the High Priest is at the core, shrouded in mystery. You have Bishops like Sasarai making important decisions, but otherwise we know very little about the actual "faith."
Based on the Highland marriage ceremony, it seems like the faith is based on the significance of the circle rune, though.
Other than that, Zexen worshipps their own goddess, The Horned Loa, and a number of other other deities seem to exist within the Zexen faith. However, it's stated within the game that these deities are "false." Probably because True Runes are the true ontic entities that define natural law and all that stuff within the Suikoden World.
Besides that you have the shamanistic tribal faith of the Karaya, but there's little detail about that. It seems more likely that what they call as spirits have more to do with runes, etc.
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