Hershel Greene is a strong Christian and believes the zombie apocalypse could be the '7 Years of Tribulation' described in the Bible but does not understand why God didn't take a Christian like himself to Heaven before the Apocalypse began. (Comic Series)
Rick Grimes is described as un-religious and makes many comments of being an unbeliever although in the Alexandria Safe-Zone he is seen attending church suggesting his faith may have grown in his time at the Safe-Zone. (Comic Series)
When Dr. Jenner was summing up possible causes for the outbreak, Jacqui added that it could also be the wrath of god, hinting she might be religious. Jenner could also be hinting he may be religious. (TS-19)
When the group arrives back at the nursing home, Daryl sees a man in a room used for prayer looks at the room in irony and says that the "it" did not do the man much.
Carl is kneeling by Sophia's grave when Carol approaches. She reassures him that they'll see Sophia in heaven, one day. Carl snaps back that heaven is just a lie, "and if you believe it, you're an idiot". (Judge, Jury, Executioner)
Hershel Greene mentions being Christian and says, "I can't profess to understand God's plan. Christ promised the Resurrection of the Dead. I just thought He had something a little different in mind." (Beside the Dying Fire)