For ancient Greece, no, knowledge was never really lost to begin with thanks to Latin and Greek's continued use, and the impact Greek mythology had on Roman religion. Most of the issues people have with Greek mythology is due primarily to the failure to realize that it was not monolithic, and differed based on location and time period.

As for Egyptian religion, we knew the basics, thanks to Greek travelers like Herodotus making records of what they heard and the religion's survival into Christian times. The ancient Egyptians were less literate than the Greeks however, so their myths tended to be passed down orally and have greater local variation and greater variation through time. What we know from Greek and Roman sources is like interpreting a movie from a few still frames. So while we knew what it became, knowing where it came from takes deciphering hieroglyphics.

There are many cases of other religions being almost entirely unknown without writing, though. If we can decipher Linear A and Cretan hieroglyphics, I'm sure we'll have a wealth of new information about the Minoan belief system, for example. We know almost nothing about it - we don't even know for sure if the Snake Goddess figurines are actually goddesses. We can assume a fair amount about them based on artistic convention and parallels with other regions, but assumptions are all they are until we have proof.