Religion can be strong. I'm experimenting with Russia myself. Thing is, right now I find religion an incredible bonus to help me achieve a cultural or science victory since domination on larger maps against harder AIs isn't very realistic and far too costly. And a religious victory is pretty much out of the question on a 6+ player map with a difficult AI since they love to spam ( It's hard enough keeping your own cities under your religion).
As Russia I'm always taking
Dance of the Aurora: Holy Site districts get +1

Faith from adjacent Tundra tiles. If I'm not near Tundra it depends on where I spawn and what's around me but most of the time I'll opt for
Divine Spark: +1 Great Person Point from Holy Site (Prophet), Campus (Scientist), and Theater Square (Writer) districts. (Helps with the snagging a GrProphet plus adds to the GrPeople generation for a cultural victory), or the generic but incredibly good
Fertility Rites: City growth rate is 10% higher and
Religious Settlements: Border expansion rate is 15% higher.
When I grab a religion if I want to do a more peace focused cultural victory I make sure
all of
my cities are following
my religion and take for founder beliefs:
Lay Ministry: Each Holy Site or Theater Square district in a city following this Religion provides +1

Faith or +1

Culture respectively and
Defender of the Faith: Combat units gain +10

Combat Strength near friendly cities that follow this Religion (Defense when needed make sure you're the only follower if you're going for science or culture victory - don't take for domination or religious victory). If you want to go toward a science victory then take.
Stewardship: Each Campus or Commercial Hub district in a city following this Religion provides +1

Science or +1

Gold respectively , instead of Lay Ministry.
Papal Primacy: Type bonuses from City-States following your Religion 50% more powerful. <---can also be a consideration if you happen to be surrounded by good city states, especially science, industrial, and culture ones depending on your victory type.
For follower beliefs take
Jesuit Education: May purchase Campus and Theater Square district buildings with

Faith. and for buildings take
Meeting House: +3

Faith; +2

Production (production is never bad) or
Synagogue: +5

Faith (raw faith for more purchases), or
Wat: +3

Faith; +2

Science (synergies well with Stewardship).
If you want to go more aggressive like wage war a lot at least to take more cities from other civs to add to your area ( domination probably not likely at higher difficulty but more cities are better for culture/science) then take
Crusade: Combat units gain +10

Combat Strength near foreign cities that follow this Religion (make sure you take an apostle to convert the city you intend to attack) instead of Defender of the Faith.