I've taken a few courses in archaeology in the middle east...my professor is Dr. Anne Killebrew; you can find her in news articles pretty easily.
How religions "started" is hard to say, but what excavations have discovered is that ritualized burials of the dead started around the days when the earliest cities began. What scholars believe, then, is that ritualized burials are indications that humans had a concept of an afterlife, which most likely has something to do with religion.
There are some theories about this. The one i remember is the idea that cities enabled thinkers to arise; the formation of civilization set humans apart from the animals, potentially causing prehistoric city-dwellers to think that perhaps humans have a deeper purpose in life; that we are not simply animals destined to die.
But it's too long ago to really be certain what people thought then; this is just a theory.
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