The POWs taken from western countries were generally treated in accordance with the Geneva conventions, but being that it is Nazi Germany there were abuses, and executions. For example some Jewish French POWs from the French Foreign Legion were imprisoned in camps (located in France). The Germans also used the POWs for forced labour since the Germans were suffering from a lack of workers because of the losses sustained in the war. By October of 1940, over 1.2 million POWs had been put into forced labour. There was some abuse against Jewish POWs but it was more because of the endemic abuse of POWs that happened in Nazi Germany.

The same can't be said for the Soviet POWs. Hitler had issued orders that all Soviet commissars were to be executed on the spot. And Soviet soldiers Jewish and non-Jewish suffered horrendous abuses. The Soviets had not signed the Geneva convention and the Nazis used that as justification to brutally torture and starve any Soviet POWs that they got. For example nearly 60% of all Soviet POWs died in captivity compared to 3% of Western POWs. So there was incidents but generally if you were a Western solider you were treated alright regardless of religion (at least in comparison to a Soviet who was captured).

There are exceptions as always. Some western POWs were transferred to concentration camps and executed. And commandos regardless of what nation they were from were executed on the spot.

Source:

Third Reich Series by: Richard Evans

The Second World War by: John Keegan.