Excellent question! Pinpointing the difference between federal control and local control is an important point in doing US history.

It is important to note that the establishment clause did not apply to the state level until 1947. Before this period, states were free to establish their own religion, if they wanted to. However, to my knowledge, no state sucessfully established a religion. There was a push in New York to establish Anglicanism, but the evangelical Protestants defeated this measure.

However, just because the states did not institute an official religion does not mean they didn't institute the spirit of a religion. David Sehat, in his The Myth of American Religious Freedom, Sehat argues that the various states enacted laws that supported a generic form of Protestantism. Sehat points to blasphemy cases from the late 1800s as his point of entry. He argues that these cases are proof of a Protestant establishment--I would call it a coercive evangelical hegemony--that sought, in Whiggish fashion, to ensure the moral nature of the nation by enforcing Protestant Christianity. Blasphemy and free thought (See Conceived in Doubt) were seen as threats to the nation, and other legal means had to be employed to protect the states. Thus, you get things like Missouri's law where it is legal to kill a Mormon (see Fluhman's 2012 work).

But it is a generic form of Protestantism that was enshrined. There was great hatred for Catholics. This poured out in the streets in the form of nativist riots and the formation of the nativist party, the Know Nothings. The Know Nothings were seen as a legal party and even welcomed at a time when the US was facing sectional fissure over slavery. While it was argued that the Know Nothings were anti-immigration, it was actually a party to limit Catholic immigration, as they openly accepted Protestant immigrants. Other forms of anti-Catholicism was the enacting of laws that placed the Bible in the public school's curriculum. While this may not seem like it is anti-Catholic, Protestants believed that Catholics did not read the Bible, but just listened to the Pope.

For more, see this readable interview with Sehat

http://usreligion.blogspot.com/2011/01/myth-of-american-religious-freedom.html