Couple of points...er isn't 'religion' belief in the supernatural??
That aside, from about 1700 onwards this side of the pond there weren't very many serious ballads being made that depict actual belief in supernatural events (religion apart obviously) and as time moves on this
decreased dramatically. So we're not so very different. Plenty of tongue in cheek supernatural ballads though. Many of those big ballads that include supernatural events can be traced back to the 17th century and lots of these survive in America, some more so than this side.