At the beginning of the game you can choose one god. You can gain the favor of gods when you worship them. You can worship any god you find fitting. At the moment there are 4 gods (in the Early Access-Version) – later 3 more will be added.
Crom 
The “God who requires no worship.” – when you don´t want to be involved in religious stuff in Conan Exiles – you have to choose Crom.
Set
The “God of serpents and sacrifice.” – Protected from Poison and you can get Poisoned Arrows when you follow Set.
Gain the Favor of Set with: Use your Setite Ritual Knife to cut out the hearts of your enemies and bring them to his altar to gain Set’s favor.
Yog
The “God of cannibals.” – Blessed Armors and Weapons for his followers.
Gain Yog’s favor by using your cleaver to harvest unblemished human flesh and roasting it in a Yog pit.
The “God of right and justice.” – The followers can create sacred items.
Purify the bodies of fallen enemies with your Mitraen Ankh and bring the lingering essence of their souls to an altar of Mitra to gain his favor.