I've always assumed it was a chain reaction dating back to Puritans but those people also moved to Massachusetts. Today, Massachusetts and the rest of the Northeast is not like the South. How did this happen?
It's hard to gauge what "conservative" means in this context, so I'm leaving the real meat of the question alone for a moment.
I will say that the Puritans (as part of a broader religious category known as congregationalists) did not settle in the southern colonies in significant numbers. They were mainly concentrated in New England while colonies which later formed southern states tended to be dominated by Anglican denominations (and, in the case of Maryland, Catholicism) while later incorporating Methodist and Baptist influences.
I'm probably simplifying a bit, so any experts on religious history should correct me if I'm wrong.
do you mean republican or do you mean conservative?
depending on which you mean they wind down different paths. If it's "republican" you mean, that's a conversation about the 1960s, if it's "conservative" i think you might want to clearly define the ideology you mean, and imagine it goes back much further than the '60s.