At the lower difficulties, you're usually the first person to grab Buddhism, and so that's usually the first religion to spread.
At higher difficulties, this isn't always the case. I've seen both Confucianism and Christianity become the most popular religion (let alone the first three).
Islam and Taoism still get a bad rap, though. Still, I've seen these become popular national religions, with very little international presence.
If you build missionaries, you can make anything the most popular religion. If you don't build missionaries, usually the first three make the biggest impression. But this isn't always the case.