It's All in Your Mind

Ian Sample's Tests of faith cites Pascal Boyer, "an anthropologist turned psychologist at Washington University in St Louis, Missouri":

"If you look at three- to five-year-olds, when they do something naughty, they have an intuition that everyone knows they've been naughty, regardless of whether they have seen or heard what they've done. It's a false belief, but it's good preparation for belief in an entity that is moral and knows everything," he says. "The idea of invisible agents with a moral dimension who are watching you is highly attention-grabbing to us."

Childish belief is one thing, but religious belief is embraced by people of all ages and is by no means the preserve of the uneducated. According to Boyer, the persistence of belief into adulthood is at least in part down to a presumption. "When you're in a belief system, it's not that you stop asking questions, it's that they become irrelevant. Why don't you ask yourself about the existence of gravity? It's because a lot of the stuff you do every day presupposes it and it seems to work, so where's the motivation to question it?" he says. "In belief systems, you tend to enter this strange state where you start thinking there must be something to it because everybody around you is committed to it. The general question of whether it's true is relegated."

And neuroscientist VS Ramachandran from the University of California in San Diego who wonders whether epileptic seizures

might prompt the left hemisphere to make up yarns to account for seemingly inexplicable emotions. The ability of the brain's left hemisphere to "confabulate" like this is well known to neuroscientists.

Of course confabulated belief systems are not necessarily religious.