EDIT: I'm asking about fundamentally different new religions that might have been put to obscurity by the power of the big religions: Christianity and Islam. Mostly interested in Europe and Asia.
Do you mean in Europe specifically or the world in general? Many major religions have been formed since the end of Antiquity, most notably Islam, Sikhism, Baha'i, and several Western (in the past ~100 years) and East Asian (in the past ~300 years) religions. And of course just about every religion has changed in the past 1500 years.
Could you be more specific about what you want to know?