For example, did the Romans see the Celtics and Egyptians and Mesopotamians, and noticed they had similar gods with similar abilities and stories as theirs and thought these were the same gods just in different cultures and languages?
Or did they think, like religions today, that only their beliefs were real and the others were lost?
Romans had a strong tradition of integrating and equating gods from provinces they conquered or otherwise had contact with. For them, it boiled down to essentially a different name for the same concept. It doesn't matter if you call the sun god Apollo or Amun-Ra, it was the same thing you were worshiping. So in that sense they weren't inclined to view the pantheons of others as necessarily different.