Though, pondering it, I noted that religious knowledge is more easily info-dumped than any other because you can invoke ritual. Ritual falls in traditional lines. One listens every repetition to the same words as the last, which often
With care, of course. If every city stages a religious ritual with the relevant potted information recited just as they reach it, it will be obviously staged. A city might have children running about in suitable costumes for significant characters, and stage puppet shows or plays re-enacting the events, for a bit of religious history. Another might have long sonorous prayers with tidbits of the knowledge larded here and there -- need to write with care, to avoid dullness, to be sure, but could include a lot of things besides history, too. A rip-off of the Homeric Hymns would introduce any god or goddess nicely -- or rather, what the people involved think of said deity, since it does not even require that the one invoked actually exist.
A creed might recite the sort of information, but care would needed in world-building. Creeds are not common. Particularly not in syncretistic religions that woven into every day life.
And festivals have to chosen with care. I strongly recommend reading primary sources of religions to get a feel for the festivities. Or anthropologists' accounts. But second-hand ones can try to systematize them. Too much. Primary source reveals the kind of random, cheery details that lend life to the festivities. Too many works I read have obviously based their religion on someone else's grand theory of religion, or at least the religious year, from which actual religious practices are considered deviations.
