All the King's Men doesn't delve too deeply into religion, but it does look at the role of religious rhetoric in politics, and at some other ways people use religion as a tool. Not to say that the novel is devoid of a more "genuine" religious experience. Our narrator, for example, even invents his own sort of religion (called the Great Twitch), which lets him pretend that nothing in the world really matters. Another character finds comfort in a more traditional belief in the God. Whatever your views on religion, the religious aspects of this novel should at least get you thinking.
Through Jack Burden and Willie's constituents, All the King's Men shows how religion is used to justify bad behavior.
Ellis Burden shows us how religion is used to cope with trauma.