The speaker's concept of the afterlife isn't taken from any traditional religious beliefs. His concept involves a type of energy or force that involves every living thing; when you die, he says, you join with this living force and continue on living. Even so, the poem occasionally drifts into mentions of otherworldly kingdom in the sky where Keats is crowned king. No matter the specifics, his versions of life after death are ultimately meant to console mourners (and himself) about the fate of their dear poet.
Stanza VII has the first mention of the afterlife. Here, Shelley calls it a "high Capital" (55) where Death is the king over a "pale court." This is the least comforting vision of the afterlife, and it occurs in the early sections of the poem when the speaker is still urging people to mourn the loss of the youth. That might be why he doesn't paint the most flattering picture of the afterlife.
In stanza XXXVIII, the heavens are too high for a mortal to reach; we cannot "soar where he is sitting now" (337). This section of the poem portrays the afterlife as a positive place, a place that is way better than the earth. There, the "pure spirit" flows, and Keats' spirit joins with it.
It is definitely portrayed as a happier place in stanza XL. In this afterlife, "envy and calumny" (353) cannot touch Keats, and neither can "that unrest which men miscall delight" (354). There, Keats has been made "one with Nature" as stanza XLII, line 370 says. He's not just up in the heavens now; he's everywhere.
This afterlife is also the final destination of the speaker, who, in the last lines of the poem (495) joins Keats there, where "the Eternal are."