Religion isn't natural. Belief in God is. In the Bible, the apostles preached the good news, not religion. In Biblical times, there were no Catholics, Methodists, Baptists, or any denomination. All were believers of God. Religions began after the death of the apostles, when there weren't any of Christ's original elect to lead. I'm sure confusion and debate arose when new leaders tried to take the apostle's role and started to rely on their own understanding instead of following God.
Ever since our creation, we've been wondering what lies beyond. We were meant to help each other in answering that question, but in the end, we have to find that answer individually. All the apostles found God on their own, and sought to share what they've found.
Jer. 29:13: And ye shall seek me, and find me, when ye shall search for me with all your heart.
So listen to what others have to share, what joy and peace they found in God, then go and find your own peace with him. In religion, people follow men. In true spirituality, people follow after God,
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People always wonder about those who've never heard of God or Christ. But God said He will have mercy upon whom He will have mercy. And for those who have put their faith upon Him should trust His fairness. If you are worried about that, then you aren't really that faithful, are you?
As for the "unforgivable sin," that sin is permanently rejecting Christ's word, which in fairness only deserves permanent punishment. The Pharisees, despite having seen Christ's miracles with their own eyes, still rejected him, even going so far as to calling him the Prince of devils.
It's a scary thought that there is a sin that can't be forgiven, and people worry that they've committed it. But their fear and remorse shows that they haven't committed that unforgivable, because they are repentant and willing to open up. So those who have refused Christ, but, by some miracle, have found Him to be true, they'll be forgiven.
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But back on the question asked, I'll restate my answer. Religion isn't natural. No one is supposed to follow a religion. Instead, we have to search for God, which is perfectly natural.