>>107733000He says he believes in God in the MCU and then his belief never gets brought back again. In the comics he mentions he doesn't really go to church but we don't know what his religion is. I guess whatever his Irish Immigrant parents were he probably had as his religious background but Cap in the comics seems like he's lapsed or doesn't really subscribe to any religion and just believes.
Stan Lee avoided giving his characters religion. Ben Grimm being Jewish was added in the 90's in honor of Kirby and that one invitation he did depicting Ben in Jewish garb. Daredevil being Jewish was added by Miller.